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Measuring Bond Market Liquidity: An empirical study of the Chinese inter-bank bond market

Zhang, Shuman and Shi, Chaoqiong (2010)
Department of Business Administration
Abstract
This paper starts from the concept of liquidity, and applies principal-components analysis to construct a composite indicator of liquidity of the Chinese inter-bank bond market. The comprehensive score that results from the above-mentioned analysis overcomes shortcomings of previous single indicators that can merely cover one dimension of liquidity, and it is of great help to disclose the relationship between liquidity and the three factors, immediacy, transaction cost and transaction amount, and thus contributes to the further study on the microstructure of the Chinese inter-bank bond market. This paper also compares the liquidity of China with that of other countries in year 2005 from the two dimensions, market tightness and market... (More)
This paper starts from the concept of liquidity, and applies principal-components analysis to construct a composite indicator of liquidity of the Chinese inter-bank bond market. The comprehensive score that results from the above-mentioned analysis overcomes shortcomings of previous single indicators that can merely cover one dimension of liquidity, and it is of great help to disclose the relationship between liquidity and the three factors, immediacy, transaction cost and transaction amount, and thus contributes to the further study on the microstructure of the Chinese inter-bank bond market. This paper also compares the liquidity of China with that of other countries in year 2005 from the two dimensions, market tightness and market depth, interpreted by the bid-ask spread and turnover respectively. The results show that there exists a large gap between the liquidity of the inter-bank bond market in China and those in developed countries. (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, principal-components analysis, Management of enterprises, Företagsledning, management
language
Swedish
id
2199311
date added to LUP
2010-06-04 00:00:00
date last changed
2012-04-02 19:14:10
@misc{2199311,
  abstract     = {This paper starts from the concept of liquidity, and applies principal-components analysis to construct a composite indicator of liquidity of the Chinese inter-bank bond market. The comprehensive score that results from the above-mentioned analysis overcomes shortcomings of previous single indicators that can merely cover one dimension of liquidity, and it is of great help to disclose the relationship between liquidity and the three factors, immediacy, transaction cost and transaction amount, and thus contributes to the further study on the microstructure of the Chinese inter-bank bond market. This paper also compares the liquidity of China with that of other countries in year 2005 from the two dimensions, market tightness and market depth, interpreted by the bid-ask spread and turnover respectively. The results show that there exists a large gap between the liquidity of the inter-bank bond market in China and those in developed countries.},
  author       = {Zhang, Shuman and Shi, Chaoqiong},
  keyword      = {inter-bank bond market,liquidity,principal-components analysis,Management of enterprises,Företagsledning, management},
  language     = {swe},
  note         = {Student Paper},
  title        = {Measuring Bond Market Liquidity: An empirical study of the Chinese inter-bank bond market},
  year         = {2010},
}