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
财经研究 2015 年 第 41 卷第 10 期, 页码:
摘要
参考文献
摘要
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。
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[3]李新.中国国债市场流动性分析[J].金融研究,2001,(3):116-121.
[4]吕宇,宋永明.国债流动性的理论与实践[J].改革,2004,(1):21-26.
[5]时文朝,张强.透明度对银行间债券市场流动性变化趋势的影响分析[J].金融研究,2008,(12):75-86.
[6]时文朝,张强.基于结构突变理论的中国银行间债券市场流动性的长期趋势分析[J].世界经济,2009,(1):78-87.
[7]吴蕾,周爱民,杨晓东.交易所与银行间债券市场交易机制效率研究[J].管理科学,2011,(2):113-120.
[8]姚秦.债券市场微观结构与做市商制度:理论与中国的实证[M].上海:复旦大学出版社,2007.
[9]袁东.交易所债券市场与银行间债券市场波动性比较研究[J].世界经济,2004,(3):63-68.
[10]张瀛.做市商、流动性与买卖价差:基于银行间债券市场的流动性分析[J].世界经济,2007,(10):86-95.
[11]张蕊.中国债券市场流动性问题研究[D]. 天津大学博士学位论文,2010.
[12]BIS. Market liquidity: Research findings and selected policy implications[R]. CGFS Publications No.11, 1999.
[13]Campbell J Y, Lo A W, MacKinlay A C, et al. The econometrics of financial markets[M]. Cambridge:Cambridge University Press, 1998.
[14]Chakravarty S, Sarkar A. Liquidity in U.S. fixed income markets: A comparison of the bidask spread in corporate, government and municipal bond markets[R]. Staff Report No.73, Federal Reserve Bank of New York, 1999.
[15]Delianedis G, Geske R. The component of corporate credit spreads: Default, recovery, tax, jumps, liquidity and market factors[R]. UCLA Working Paper No.22_01, 2001.
[16]Elton E J, Gruber M J, Agrawal D, et al. Explaining the rate spread on corporate bonds[J]. Journal of Finance, 2001, 56(1): 247-277.
[17]Fleming M J. The roundtheclock market for U.S. treasury securities[J]. Economic Policy Review, 1997, 3(2): 10-32.
[18]Gravelle T. Liquidity of the government of Canada securities market: Stylised facts and some market microstructure comparisons to the United States treasury market[R]. Bank of Canada Working Papers, 1999.
[19]Grossman S J, Miller M H. Liquidity and market structure[J]. Journal of Finance, 1988, 43(3):617-637.
[20]Kamara A. Liquidity, taxes, and shortterm treasury yields[J]. Journal of Financial and Quantitative Analysis, 1994, 29(3): 403-417.
[21]Kyle A. Continuous auctions and insider trading[J]. Econometrica,1985, 53(6): 1315-1335.
[22]Muranaga J, Shimizu T. Market microstructure and market liquidity[M]. lnstitute for Monetary and Economic Studies,Bank of Japan, 1999.
[23]Schultz P. Corporate bond trading costs and practices: A peek behind the curtain[J]. Journal of Finance, 2001, 56(2): 677-698.
[24]Tanner E, Kochin L A. The determinants of the difference between bid and ask prices on government bonds[J]. Journal of Business, 1971, 44(4): 375-379.
引用本文
马永波. 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[J]. 财经研究, 2015, 41(10): 0.
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