银行间债券市场做市商价格发现能力研究

Price Discovery of Market Maker Quotes in China's Interbank Bond Market

本文基于我国银行间债券市场上交易的734只债券样本,利用做市商双边报价高频数据和状态空间模型,对做市商的价格发现能力进行系统性分析,对竞争性做市商制度和外资银行的价格发现贡献度进行客观性评价。实证结果显示,竞争性做市商制度并不能有效提升市场流动性和价格发现能力,其机制设计的优越性在我国现阶段尚未体现;外资银行虽然报价比例较小,但表现出较强的价格发现能力,引入外资银行的战略有利于提升我国债券市场价格发现效率的整体水平;我国做市商群体,特别是大型银行,存在比较严重的报价信息含量低、对新息冲击识别不足、对报价义务敷衍塞责等问题。

Based on the quote data of 734 sample bonds traded in China＇s interbank bond market, this paper analyzes the price discovery contributions of market makers by a state space model, and provides a comprehensive and objective evaluation on the competitive market maker mechanism and price discovery contribution of foreign banks. The estimate results show that, the competitive market maker mechanism cannot effectively increase market liquidity or capacity of price discovery; Despite of the small quote ratio, foreign banks demonstrate explicitly a high capacity of price discovery, which certifies the contribution of foreign banks in promoting the whole efficiency of price discovery in China＇s interbank bond market; for our local market makers, especially large banks, the low capacity of price discovery, manner towards quoting duty, are the problems that should be the lack of identification to new innovations, and the perfunctory taken into concem.