The Research On The Liquidity Of China Bond Market

Bond market plays a key role in implementing effective fiscal and monetary policies and in maintaining the sustained, balanced development of the national economy. More and more attention has been paid to the bond market across the countries. Liquidity is the vitality of the securities market and the important sign of maturity of security market. However, there is few relevant research on the bond market liquidity. Due to the key position of the bond market liquidity in maintaining the financial stability of the country, the China bond market liquidity was researched from theoretical and empirical aspects in this paper. The paper consists of four parts:(1)the background, introduction of the problem, the summary of the relevant research area, also introduced the content, structure and innovation of the dissertation(Chapter 1-2); (2)the research of measurement of liquidity and the liquidity premium in China bond market(Chapter 3-4); (3)the research of the influencing factors of liquidity and liquidity risk management(Chapter 5-6); (4)finally, the conclusions and prospects(Chapter 7). The detailed contents are as below:(1) Chapter 1: Introduction. Based on the investigation of theoretical and empirical background, the problem, the content, the structure and the innovation of the dissertation were introduced. Chapter 2: the summary of liquidity relevant research. The definition, the four dimensions, the influence factors and the liquidity pricing were reviewed. And also the theory and technique of the liquidity risk management was introduced.(2) Chapter 3: the measurement of liquidity in the China bond market. Using tick by tick data of China inter-bank bond market, the bond market liquidity was measured by price impact cost. The two-step model of corporate bond transaction cost was built. The transaction cost of inter-bank corporate bond was investigated with this model. And the influence factors of transaction cost were also investigated. Chapter 4: the study on liquidity premium of the China bond market. A four-factor affine model was introduced. Using the model, the scale and the dynamic characteristic of liquidity premium of treasury bonds in Shanghai stock exchange was studied. An issue of nonlinear system optimal estimation in this study was resolved by UKF method.(3) Chapter 5: the study on influencing factors of China bond market liquidity. Using VEC model, influencing factors of bond market liquidity were researched systematically from both home and abroad aspects. Chapter 6, the bond risk management with liquidity risk. The liquidity risk was introduced in the bond market risk management based on the VaR framework. With the copula function, the correlation of the multiple risk factors was modeled, so the influences of the multiple risk factors on the bond market were investigated.(4) Chapter 7: the conclusions and prospects. The conclusions of dissertation and some prospects of the dissertation are made.