The Research Of The Effect Of Transpanrancy To Liquidity In Inter-Bank Bond Market In China

The stock market liquidity refers to the possibility that a dealer in the specific stock market trade securities at low transaction cost, the greater the prossibility, the higher the liquidity of the securities market, otherwise lower; Transparency means the possibility that more dealers will be able to see more information on trading price or trading volume, the greater the possibility, the greater the transparency, otherwise lower. Liquidity of the stock market is the foundation of the three basic functions ofthe stock market——realization of financing, asset pricing and allocation of capital.It is the core of the construction of the security maket. While reasonable transparency can weaken the administrative intervention and protect the market's operation, which is a key point of supervision of the securities market, and becoming more important day after day accompanied by reduction of government intervention. As a result, liquidity and transparency of the market are core issues of micro-structure theoretical study and also of practice in the securities market. Since different transparency will impact on market development modes and on the behavior of dealers in the market, then affect liquidity, thus the study of the influence of transparency to liquidity is of great theoretical and practical significance. However, from the theory and practice of the specific situation:there is still big controversy about the impact of the transparency on market liquidity in the micro-structure market theoretical study, and there is no unify recognition how the transparency will impact on market liquidity in the practice of securities market regulation. This paper study on the subject of our bond market——inter-bank bond market, tries to enrich the theory of micro-structure of markets, and provide theoretical guidance and policy guidelines to how to deepen construction of the inter-bank bond market.This paper based on the theory of micro-constructure of market, studied the related effect of transparency to liquidity in our inter-bank bond market. First, we reviewed related theory concerning transparency impact on liquidity from four aspects——the concept and perfomance of transparency,the concept and calculating methodsof liquidity,the influence of transparency to liquidity,transparency choise in different market environment,thus build theory framework regard to the impact of transparency on liquidity. On this basis, we apply the amended depth of the market model to measure the liquidity of the whole inter-bank bond market and of single security. The result suggest that the improvement of liquidity computing model is effective, and can apply to the comparison of different markets and different time. Atthe same time, we use inter-bank bond market data,from two aspects——the alterationof transparency influence market liquidity trend,different performance of transpareny(that is trading price and trading volume) influence market liquidity's information efficiency, empirically tested transparency's impact on the trend and efficiency of our inter-bank bond market's liquidity. The result turns out that, first of all, the improvement of transparency enhance our interbank bond market liquidity overall. Second, transparency didn't have break-in impact on inter-bank bond market,but impact on the liquidity, and is divergent accompany treasury,policy-oriented financial bonds,corporate credit short-term financing bonds. Third, the influence of price information on liquidity's information efficiency is unstable. Because changes in price depends on prior trade, which allows the empicical research on specific economic events particularly difficult; and the influence of trade volume information on liquidity information efficiecy is affected by quick speed of market capacity expanding, so decline overall.Based on the former research, this paper analyzes some problems in the construction of our inter-bank bond market's transparency from the perspctive of improving our inter-bank bond market liquidity: First, we didn't have an in-depth understanding about the influence of transparency construction to market liquidity, there is no theoretical framework of the system to guide practice; Second , there is no clear framework of the transparency construction which based on the maintenance of market liquidity; Third, the concrete policies of transparency construction paid little attention to the main purpose - enhance the market liquidity, and didn't buid information disclosure constitution to delay or advance in good faith from the point of view of the maintenance of market liquidity; Fourth, the market environment of the transmission from transparency policy to the liquidity is inefficiency.At the same time, we make some suggestions about transparency construction to improve our inter-bank bond market liquidity. One is to research on the foundation of the relationship between inter-bank bond market transparency construction and market liquidity alteration, to form a theoretical framework to guid practice ; Second is to make principles and overall planning and also framework about market transparency construction which aim at maintain market liquidity; The third is to improve the concret mechanism of transparency construction for the purpose of enhancing the market liquidity; Fourth, accelerate the construction of the market environment that transfer the impact of transparency policy to liquidity.Around the questions above, this study will achieve innovation from the following aspects. First, enrich the development of the theory of micro-market structure in the countries that the bond market exist recently. So far, the main research object of the micro-market structure theory is stock market. In recent years, there are only a few researches on the bond market in developed countries. The systematic researches about the developing countries bond market are even limited. This research is based on the micro-market structure theory, systematically studies the impact of transparency on the liquidity in our interbank bond markets. This paper uses Empirical Analysis to study the applicability of micromarket structure theory in emerging markets so that enrich the mirco-maret structure theory. Second, improve the function of the liquidity of stock market and then apply it in the research of bond market, so the improved function can adapt to the market at any time and any stage. Also, it provids the conditions and foundations for the study of China's whole bond market liquidity situation, as well as of the comparison of liquidity between different markets and at different times. Third, use the catastrophe theory and Rank test in combination, verify the impact of the inter-bank bond market transparency on liquidity changes in trend, thus analyze it completely and comprehensively. Forth, povide a new way for studing information efficiency using mircomarket structure theory. This paper introduces information efficiency probability and computing method of macroeconomic into microeconomic. It studies the impact of transparency on the infomation efficiency of inter-banks bond market and offer a new way to study the impact of information on otherside of the market by using mircomarket structure theory. Fifth, the first-hand materials of data which come from the pragmatic Department are very detailed and complete. So the empirical conclusion's credibility is high.