银行间债券市场流动性溢价问题研究

我国的债券市场是否存在流动性溢价?这一问题无论对理论还是实务都具有重要意义。本文使用聚类分析的方法,以2000年1月至2005年3月间银行间国债分笔交易数据为研究对象,从各种与流动性有关的指标寻找出了4种同向变动关系,并使用4种指标代表了这4种变动方向,随后检验了持有期为30日、60日、90日、180日和360日条件下债券收益与上述流动性指标的关系。发现价格影响系数在短期内显著并符号正确,意味着随着流动性增加,债券收益率下降。随着期限扩大为半年以上,无论是年报价笔数还是价格影响系数都表现出相反的符号,此时流动性越高的债券反而收益越高。这表明我们为本不具有流动性的资产支付了高额的价格,高流动性债券的价值则被低估。

Liquidity Premium in China Interbank Bond Market

Liquidity is one of the most notable characteristics in China interbank bond market.Using cluster analysis with high frequency data between Jan.2000 and Mar.2005,this paper finds four directions of co-movement between various liquidity measurements,thus makes them the indexes of liquidity.In the following chapter,the relationship between holding period return and liquidity is investigated.We find that the price impact is significant with a right sign in short period.When holding period extended to a half year,both price impact and the number of quotes give an opposite sign,which means the holding period return becomes bigger with liquidity increases.This indicates we pay a higher price for those that do not deserve.