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

被引：0

作者：

Zheng Y. ^{[1
]}

Wu W. ^{[1
]}

Hu Y. ^{[2
]}

机构：

[1] Antai College of Economics and Management, Shanghai Jiao Tong University, Shanghai

[2] School of Bussiness, East China University of Science and Technology, Shanghai

来源：

Xitong Gongcheng Lilun yu Shijian/System Engineering Theory and Practice | 2022年 / 42卷 / 09期

基金：

中国国家自然科学基金;

关键词：

bond market; China; corporate bond; liquidity; pricing;

D O I：

10.12011/SETP2021-2609

中图分类号：

学科分类号：

摘要：

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. © 2022 Systems Engineering Society of China. All rights reserved.

引用

页码：2304 / 2332

页数：28

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