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Measuring Bond Market Liquidity:An empirical study of China’s inter-bank bond market

Zhang, Shuman and Shi, Chaoqiong (2010)
Department of Business Administration
Abstract
To discuss the current liquidity in inter-bank bond market, this paper uses high-frequency date of bond trading, and selects a series of liquidity measures to evaluate liquidity in the market respectively. Then correlation analysis is applied between liquidity measures, and the result reveals that some liquidity measures are highly correlated. Based on the correlations between liquidity measures, factor analysis is used to make a comprehensive assessment of market liquidity in the sample period. This paper also uses comparative analysis to position market liquidity level of China. It finds out that liquidity in China’s inter-bank market is improving but there still exists a far distance to developed countries. In addition, using bid-ask... (More)
To discuss the current liquidity in inter-bank bond market, this paper uses high-frequency date of bond trading, and selects a series of liquidity measures to evaluate liquidity in the market respectively. Then correlation analysis is applied between liquidity measures, and the result reveals that some liquidity measures are highly correlated. Based on the correlations between liquidity measures, factor analysis is used to make a comprehensive assessment of market liquidity in the sample period. This paper also uses comparative analysis to position market liquidity level of China. It finds out that liquidity in China’s inter-bank market is improving but there still exists a far distance to developed countries. In addition, using bid-ask spread as a liquidity measure, this article tests the difference of liquidity of bonds with different maturities and categories respectively. We find that liquidity varies with maturities and categories. Finally, this paper analyzes the factors influencing the liquidity in inter-bank bond market, and proposes some suggestions about how to improve market liquidity. (Less)
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author
Zhang, Shuman and Shi, Chaoqiong
supervisor
organization
year
type
H1 - Master's Degree (One Year)
subject
keywords
inter-bank bond market, liquidity, correlation, component analysis, Management of enterprises, Företagsledning, management
language
Swedish
id
2169616
date added to LUP
2010-06-04 00:00:00
date last changed
2015-10-19 15:58:30
@misc{2169616,
  abstract     = {To discuss the current liquidity in inter-bank bond market, this paper uses high-frequency date of bond trading, and selects a series of liquidity measures to evaluate liquidity in the market respectively. Then correlation analysis is applied between liquidity measures, and the result reveals that some liquidity measures are highly correlated. Based on the correlations between liquidity measures, factor analysis is used to make a comprehensive assessment of market liquidity in the sample period. This paper also uses comparative analysis to position market liquidity level of China. It finds out that liquidity in China’s inter-bank market is improving but there still exists a far distance to developed countries. In addition, using bid-ask spread as a liquidity measure, this article tests the difference of liquidity of bonds with different maturities and categories respectively. We find that liquidity varies with maturities and categories. Finally, this paper analyzes the factors influencing the liquidity in inter-bank bond market, and proposes some suggestions about how to improve market liquidity.},
  author       = {Zhang, Shuman and Shi, Chaoqiong},
  keyword      = {inter-bank bond market,liquidity,correlation,component analysis,Management of enterprises,Företagsledning, management},
  language     = {swe},
  note         = {Student Paper},
  title        = {Measuring Bond Market Liquidity:An empirical study of China’s inter-bank bond market},
  year         = {2010},
}