The Research Of Government Bond Market Liquidity In China

As the core in the some government bond market (GBM) characteristics, liquidity presents not only investors such chances as transferring and trading government bond, but also borrowers premise of raising funds. Being lack of liquidity, transactions are hardly done, so market loses necessity of existence and as a kind of resource of finance, government bond, in fact, will be in the unused and wasting instance. So it is necessary to study GBM liquidity and search measures according to problems existing of liquidity, in order to reinforce liquidity, promote market efficiency and pull economy growth.First, in term of market micro-structure theory, this thesis defines GBM liquidity that is a kind of characteristic of market, which government bond market participants are able to at all time to execute large trades quickly without affecting market prices to any considerable extent. Then in virtue of the dynamic programming model, this thesis finds out factors influencing the liquidity of China's GBM, such as market information, transaction system, institutional investors and bond variety and so on. On the basis of theoretical analysis, this thesis deeply probes into factors influencing the liquidity of China's GBM, including limitation of information disclosure, segmentation and un-diversification of transactions system, illegitimate institutional investors and scarcity and un-rational structure of bond variety. Moreover combing definition, indicators of measuring liquidity and factors influencing the liquidity of China's GBM, this thesis builds the indicators of measuring liquidity of China's GBM, which are composed of transaction quantity, price spread, transaction system and bond variety. At last, Based on empirical research through the indicators of measuring the liquidity of China's GBM, this thesis approves the liquidity of China's GBM has gradually been improving but taking as the integer still is comparatively low, namely liquidity is not enough and can not be meet demand of development.The liquidity of China's GBM must be improved, but it is a gradual process. In term of factors of the liquidity of China's GBM, this thesis puts forward special approvals to promote the liquidity of China's GBM, including disclosing market information such as quantity in inventory, order, transaction quantity, trading interval, market price and so on; unifying GBM, developing over-the-counter market and building an block trading market to realize integrity and diversification of transaction system; developing institutional investors which have been existence and foundinggovernment bond funds to improve the degree of institutional investors; augmenting variety of "bonds and ameliorating bond structure etc.