从双边报价看如何提升信用债流动性——基于银行间市场做市商行为的研究

How to Enhance the Liquidity of Corporate Bonds from a Perspective of Market-maker Bid-ask Spread:Based on the Behavior of Market Maker in China's Inter-bank Bond Market

文章以一段包含牛熊市的完整市场周期为样本,考察了影响信用债双边报价价差的因素,并对不同行情下不同类型做市商的双边价差做了比较。研究发现,做市商提供的信用债流动性明显不足,中小机构(不含外资银行)的信用债做市报价优于大型机构,做市商稳定市场的作用整体上有限。这既有做市机构风险偏好等微观层面的原因,也有市场缺乏有效分层、做市商缺乏激励约束机制等宏观层面的原因。为了提升信用债的流动性,文章建议推动银行间市场分层、加强信用债一二级市场联动以及推进场内场外市场的统一互联。

Based on a full market cycle including bull and bear markets,this paper investigates the factors influencing bid-ask spreads of credit bonds,and compares the bid-ask spreads by different types of market makers under different market conditions.It comes to the conclusions that the liquidity of credit bonds provided by market-makers is insufficient in general;and small and medium-sized market-makers（excluding foreign banks）perform better than that of larger ones,and market makers play a limited role in market stabilization as a whole.The reasons lie in not only micro-level different risk preference of market makers,but also the lack of effective market layers and corresponding incentive measures and constraint mechanisms within the market maker system.In order to improve the liquidity of corporate bonds,it provides suggestions such as the promotion of the inter-bank market stratification,the enhancement of the linkage of the primary and secondary bond markets and the advancement of the interconnection of the exchange and inter-bank bond markets.