财经论丛
財經論叢
재경론총
Collected Essays On Finance and Economics
2015年
5期
50~57
,共null页
订单流不平衡 流动性 国债收益率 做市商制
訂單流不平衡 流動性 國債收益率 做市商製
정단류불평형 류동성 국채수익솔 주시상제
order imbalance; liquidity; treasury bond returns; market maker system
采用日内数据,以上交所固定收益平台国债市场订单流不平衡的总和为交易活动代理变量,买卖价差作为度量市场流动性的指标,实证检验订单流不平衡对买卖价差以及国债收益率的影响,分析固定收益平台做市商的做市行为对市场流动性及国债价格形成的影响。结果表明：我国固定收益平台订单流不平衡导致存货成本并影响做市商的报价行为;做市商调整报价的存货管理方式会影响市场流动性与价格有效性。为此,需要进一步完善做市商机制,以提升固定收益平台国债市场价格的有效性。
採用日內數據,以上交所固定收益平檯國債市場訂單流不平衡的總和為交易活動代理變量,買賣價差作為度量市場流動性的指標,實證檢驗訂單流不平衡對買賣價差以及國債收益率的影響,分析固定收益平檯做市商的做市行為對市場流動性及國債價格形成的影響。結果錶明：我國固定收益平檯訂單流不平衡導緻存貨成本併影響做市商的報價行為;做市商調整報價的存貨管理方式會影響市場流動性與價格有效性。為此,需要進一步完善做市商機製,以提升固定收益平檯國債市場價格的有效性。
채용일내수거,이상교소고정수익평태국채시장정단류불평형적총화위교역활동대리변량,매매개차작위도량시장류동성적지표,실증검험정단류불평형대매매개차이급국채수익솔적영향,분석고정수익평태주시상적주시행위대시장류동성급국채개격형성적영향。결과표명：아국고정수익평태정단류불평형도치존화성본병영향주시상적보개행위;주시상조정보개적존화관리방식회영향시장류동성여개격유효성。위차,수요진일보완선주시상궤제,이제승고정수익평태국채시장개격적유효성。
By introducing aggregate daily order imbalance variable as the indicator of trading activity in treasury bond market, and quoted spread as the indicator of market-wide liquidity, this paper uses intraday data to investigate the impacts of order imbalance on quote spread and Treasury Bond returns, and analyze the influence of market maker on liquidity and price formation process. The results show that the order imbalance will cause inventory cost and lead market makers to adjust their quotes so as to control their inventory positions, which will in turn affect liquidity and price efficiency. Accordingly, it is nec- essary to further improve market maker system to enhance the price efficiency of Treasury Bond market.
