CAJ | 학술논문

公司债券流动性衡量上的困难是限制公司债券市场流动性问题研究的重要因素。基于流动性的基本内涵,本文用主成分分析方法构建隐性综合衡量来度量公司债券市场流动性,并用我国公司债券市场数据对隐性综合衡量的效果进行了实证检验。研究结果表明,隐性综合衡量能够充分反映流动性三个方面的内涵,在流动性衡量指标相对有限的公司债券市场上具有稳健性。价格冲击、价格序列相关和公司债券特征在我国公司债券市场流动性衡量上的效度非常低。
공사채권류동성형량상적곤난시한제공사채권시장류동성문제연구적중요인소。기우류동성적기본내함,본문용주성분분석방법구건은성종합형량래도량공사채권시장류동성,병용아국공사채권시장수거대은성종합형량적효과진행료실증검험。연구결과표명,은성종합형량능구충분반영류동성삼개방면적내함,재류동성형량지표상대유한적공사채권시장상구유은건성。개격충격、개격서렬상관화공사채권특정재아국공사채권시장류동성형량상적효도비상저。
Difficulty in measuring liquidity of corporate bond is a key factor to hinder the studies on the problems of liquidity in corporate bond market.Based on the definition of liquidity,the paper puts forward a latent comprehensive measure to calculate corporate bond market liquidity using principal component analysis,and empirically tests the effectiveness of the measure with the corporate bond data in China.The study finds that latent comprehensive measure can fully reflect three aspects of liquidity and have robustness in the market with limited liquidity measures.Moreover,price impact,serial correlation of price change and corporate bond characteristics have very limited effectiveness in measuring the liquidity of Chinese corporate bond market.