The Study Of The Market Maker System And The Liquidity Of The Inter-Bank Bond Market

The market maker system,which is one of most important transaction mechanism,is used by more and more securities market.A great deal of research has manifested that transaction mechanism is directly relevant to the realization of the security market's function and the promotion of the market liquidity.The inter-bank bond market,which is the largest security market in China and the first domestic market which adopted the market maker system,has accumulated operation data and experiences of nearly 7 years,which can offer us a valuable sample and case for research.Therefore,research on the market maker system of the inter-bank bond market has profound theoretical and practical meanings.In this dissertation,three questions will be answered theoretically.First,why did the market maker system take the lead in the financial markets all over the world? Second,in China's practice,what is the impact of market maker system to the liquidity? Third,how can we assess the market maker system in the inter-bank bond market and is it the right development orientation of our bond market? Based on the three questions above,this dissertation has done a systemic research,which is extended from logical to empirical,from abstract to specific,on the bond market liquidity and market maker system with the study on market maker system as a main line.First,under the framework of market maker system theory,I analyzed the behavior and the process of the market maker.Then,I studied the feature of bond market transaction mechanism and the status and feature of today's inter-bank bond market in China and done a comparison between auction mechanism and market maker mechanism.Moreover,this article also made an analysis of the impact of market maker system to the liquidity of the inter-bank bond market.Based on the theoretical analysis,this article made use of the data of two-way quote in inter-bank bond market to do an empirical analysis on the factors which influence the liquidity of inter-bank bond market.The main conclusions are:the number of market maker,the remain maturity and the daily volume of bonds are positively relevant to liquidity. where as the volatility has no relevant to liquidity.At the end of this dissertation. relevant policy suggestions are given in accord with the existing problems in our inter-bank bond market and the experience from developed countries.To sum up,the basic conclusions of this dissertation are as follows.Compared with the dominant auction mechanism of inter-bank bond market at present,the market maker mechanism lowered the transaction cost,promoted the efficiency and liquidity of market.Generally speaking,the market maker mechanism should be the orientation for further development and optimization of our inter-bank bond market.