The Study On The Liquidity Of Exchange Bond Market：a Practical Research Of Corporate Bond And Enterprise Bond

Lacking liquidity has always been a problem in Chinese exchange bond market.As an important part of Chinese bond market, the exchange bond market is of greatsignificance for improving the capital market in China, thus it is necessary andimportant to conduct deeper studies into bond liquidity problems in Chinese bondmarket.This article uses daily bond exchange data from2003to2011in the exchangemarket to empirically study some questions concerning the bond liquidity. First,construct liquidity measurements. Small scale and low liquidity is the two obviousaspects of Chinese bond market, due to this, this article adopts a combined price andquantity approach. This article also examines the curve lines concerning bondliquidity calculated by using the constructed measurements and finds that bondliquidity becomes higher in the long run, while during some short periods, bondliquidity changes violently.This article uses GARCH model to depict liquidity risk and market risk in bondmarket and then by including liquidity risk, interest risk, credit risk and market risk,this article builds an extended model to test bond premium. After analyzing the bondpremium curve lines drawn out based on panel data, I find that from2003to2011, thebond premium changes not much overall, while in some periods it fluctuates andthose fluctuated periods coincide with liquidity violent changes periods.This article builds a regression model to analyze the relationship between bondliquidity and bond return. Results suggest that there is cause-effect relationshipbetween bond liquidity and bond return, but the relationship is one-wayward. To put itmore specifically, lagged information on bond liquidity leads to changes in bondreturn, while the other way round does not.