国债和国开债信息效率与流动性关系研究——基于银行间市场角度的分析

A Study on the Relationship between Information Efficiency and Liquidity of Treasury Bonds and CDB Bonds——Analysis based on the perspective of the interbank market

研究国债和国开债市场信息效率高低、信息效率和流动性的关系具有重要意义。本文通过构建流动性代理变量—日均价差,运用2013年1月至2019年6月银行间市场国债和国开债交易数据,基于永久—短暂模型实证研究发现:我国银行间10年期国开债市场较10年期国债市场信息效率更高,两者的价格发现贡献份额分别为78.9%和21.1%;国债和国开债市场相对信息效率高低与相对流动性强弱存在正向相关关系。我国应通过缩小银行间债券市场做市商双边买卖报价价差、提升债券市场流动性和统一债券市场信息披露标准等措施来提升债券市场信息效率。

It is of great significance to study the relative information efficiency and the relationship between information efficiency and liquidity of Treasury bond and CDB bond market.By constructing the liquidity proxy variable-daily average spreads,and using the trading data of Treasury bond and CDB bond in the interbank market from January 2013 to July 2019,an empirical research based on the Permanent Transitory model shows that:The information efficiency of the interbank 10-year CDB bond market is higher than that of the interbank 10-year Treasury bond market in China,The contribution share of price discovery in the two markets is 78.9%and 21.1%respectively;There is a positive correlation between the relative information efficiency and the relative liquidity in Treasury bond and CDB bond market.Therefore,China should improve the information efficiency of bond market by reducing the bilateral bid-ask spreads of interbank bond market makers,improving the liquidity and unifying information disclosure standards of the bond market.