文献类型：期刊文献

中文题名：中国信用债流动性及定价:来自国际比较的证据

英文题名：Liquidity and its pricing of Chinese corporate bond:Evidence from international comparison

作者：郑怡君[1];吴文锋[1];胡悦[2]

机构：[1]上海交通大学安泰经济与管理学院,上海200030;[2]华东理工大学商学院,上海200237

年份：2022

卷号：42

期号：9

起止页码：2304

中文期刊名：系统工程理论与实践

外文期刊名：Systems Engineering-Theory & Practice

收录：CSTPCD;;国家哲学社会科学学术期刊数据库;EI(收录号：20224312996148);Scopus;北大核心:【北大核心2020】；CSCD:【CSCD2021_2022】；CSSCI:【CSSCI2021_2022】；

基金：国家自然科学基金(71850010,71772121,71790592)。

语种：中文

中文关键词：债券市场;流动性;中国;定价;公司信用类债券

外文关键词：bond market;liquidity;China;pricing;corporate bond

摘要：本文利用2010-2020年中国银行间、交易所债券市场和美国公司债市场的日间、日内交易数据,从交易活跃度、交易成本、价格响应三个维度计算了18个流动性指标,结果发现:中国银行间市场(交易所市场)信用债的月均交易笔数是美国的10.90%(78.19%),但交易成本仅为美国的13.99%~26.91%(27.47%~71.15%).18个流动性指标的时间序列、横截面相关性大多数低于美国市场.中国流动性指标对信用债利差的解释力不到3%,不到美国市场(11%)的30%.虽然在信用债的刚性兑付破除后,尤其是在市场面临风险冲击的时期,流动性对债券利差的解释力有所增强,但是其解释力依然偏低.
Using intra-day and inter-day transaction data of Chinese bond market from 2010 to 2020,this study calculates 18 liquidity measures from 3 dimensions(transaction frequency,transaction cost and price impact).We find that monthly trading count of Chinese interbank(exchange) market accounts for 10.90%(78.19%) that of U.S.corporate bond market,but the transaction cost is only 13.99%~26.91%(27.47%~71.15%) that of U.S.corporate bond market.The correlation among the 18 liquidity measures is smaller than that of the U.S.market.Liquidity measures explain less than 3% of bond yield spread in Chinese market,which is less than 30% that of the U.S.market(11%).The explanatory power of liquidity increased after the rigid repayment was violated,especially when the market is hit by credit or liquidity shock.But even under these circumstances,the explanatory power of liquidity is still lower than the U.S.market.