The Liquidity Premium Of Our Enterprise Bonds

Enterprise bonds are issued by the company with legal procedures and agreed by a servicing securities, It play an important role in China’s securities market and have the unique functions in the micro and macro aspects. In recent years the enterprise bond market development fast, the number of issued bond is rising year by year, and even more than the number of the national debt, but its market share is still less than the national debt. Enterprise bond market is not perfect, mainly displays in liquidity shortage and market segmentation. The liquidity research first focused on the stock market, and later the enterprise bond market. Liquidity is a measure of the quality and efficiency of the financial market. It’s an important core of financial microstructure market. Enterprise bond market still has many problems, it is necessary to consider in microstructure level as the breakthrough to solve the problem, draw some useful policy Suggestions.Based on the survey of the domestic and international literature, considering the special situation of our country’s Enterprise bond market, we here choose four liquidity index to measure the liquidity, including direct liquidity index-Volume and indirect liquidity index-Amihud liquidity, Roll liquidity and Price Dispersion liquidity, and considering the explanations of the four kinds of liquidity to yield spread. The empirical results show that liquidity is an important price factor to the yield spread, except the Roll liquidity, other regression results are significant. Indirect liquidity index have more significant influence than direct liquidity index. In the second part of the empirical test, we focus on the liquidity effect in both Inter-bank bond market and Exchange bond market by reference the Fama-MacBeth regression model, select another three liquidity index. The results show that there exist deviation of liquidity and yield between the two market, market segmentation phenomenon is obvious, enterprise bonds in Exchange bond market are more sensitive to liquidity. Finally get some policy proposals based on the empirical results and current problems existing in the two market.