Full-Text Search:
Home|Journal Papers|About CNKI|User Service|FAQ|Contact Us|中文
《Finance & Trade Economics》 2005-09
Add to Favorite Get Latest Update

A Study on Liquidity of China' s Government Bond Market

LI Yan, CAO Jinwen ( Remin University of China, Beijing 100872)  
In this paper we investigated the liquidity of the government bonds traded in the Inter - bank Market of China and Stock Exchange of Shanghai. We estimate the width and depth of the two markets using serial covariance model, Amivest liquidity ratio and turnover ratio. We find that 1) there are structured differences of liquidity between the two markets;2) in all kinds of government bond repurchases, the 7 days Repo is the most liquid. It is reasonable to use 7 - day Repo rate as the benchmark rate;3) there is substitute effect between on - the - run bonds and off - the - run bonds.
【Fund】: 本报告得到教育部人文社会科学研究专项任务项目资助
【CateGory Index】: F832.51
Download(CAJ format) Download(PDF format)
CAJViewer7.0 supports all the CNKI file formats; AdobeReader only supports the PDF format.
Chinese Journal Full-text Database 2 Hits
1 GUO-Ying;On Liquidity of Bond Market in China[J];Business Economy;2008-03
2 Li Zhongshan/ Wu Junwei/ Zhen Hongxian;Selection of the Benchmark of Chinese Inter-Bank Offered Rate[J];Shanghai Finance;2009-08
Chinese Journal Full-text Database 1 Hits
1 CHEN Yi-ling, SONG Feng-ming Tsinghua University, Beijing 100084, China;An empirical study on the relationship between price changes and trading volume in China stock market[J];JOURNAL OF MANEGEMENT SCIENCES IN CHINA;2000-02
Chinese Journal Full-text Database 10 Hits
1 ZHANG Bo,YIN Zhong-minSchool of Management,Xi'an University of Technology,Xi'an 710054,China;Empirical analysis of relationship between price and trading volume in Shanghai Securities Market[J];Journal of Dalian University of Technology(Social Sciences);2007-03
2 Li Fujun Da Qingli(College of Economics and Management, Southeast University, Nanjing 210096, China);Volatility between volume and price returns: evidence from Chinese stock markets[J];Journal of Southeast University (Natural Science Edition);2005-02
3 FU Yun ying 1, MENG Wei dong 1, CUI Di 2 (1.College of Business Administration, Chongqing University,Chongqing 400044,China; 2.Chongqing Changan-Forg Automabile Company,Chongqing 400072,China);Respond of Stock Trading Volume to Earning Report[J];Journal of Chongqing University(Natural Science Edition);2002-11
4 CHEN Wei-yun~(1),HUANG Man-hui()~(2),WU Yong()~(1)(1.Clollege of Economics and Business Administration, Chongqing University,Chongqing 400030,China;2.GuandongBusinessCollege,Guangzhou 510088,China);Empirical Analysis on Return Distribution and Price-volume of SZCI[J];Journal of Chongqing University(Natural Science Edition);2005-01
5 WANG Yan-hui~1,WANG Kai-tao~2(1. School of Management School, Xi'an Jiaotong University, Xi'an 710049,China;2. Shanghai Branch, Shenzhen Development Bank,Shanghai 200122,China);An Analysis on Relations of Trading Volume and Returns[J];Systems Engineering;2005-01
6 XIAO Jun,CHEN Wei-zhong,WANG Yu-xi (School of Economics & Management, Tongji University, Shanghai 200092,China);An Empirical Research on Short-term Contrarian Strategy in the China Stock Market[J];Systems Engineering;2005-03
7 CAO Ying-chun,LIU Shan-cun,QIU Wan-hua (School of Economics and Management,Beihang University,Beijing 100083,China);Intra-day Liquidity in Security Markets:Synthetic Measurement,Characteristics and Information Contents[J];Systems Engineering;2007-03
8 LIU Duan,CHEN Shou(College of Business Administration,Hunan University,Changsha 410082,China);Empirical Research on the Impacts of Investor's Overconfidence and Disposition Effects on Driving Trading[J];Systems Engineering;2007-09
9 TANG Yu, ZENG Yong, TANG Xiao-wo (Management College,The University of Electronic Science and Technology of China,Chengdu 610054);Feedback Trading and Stock Return Autocorrelations: Empirical Evidence from Shanghai Stock Market[J];Journal of Industrial Engineering and Engineering Management;2002-04
10 SU Qi-han, CHEN Wei-zhong (Shanghai Tongji University,Research Department of Financing,Shanghai 200092,China);Study of the Relationship among the HengSheng Index Futures, Its Volume and Open Interest[J];Journal of Industrial Engineering and Engineering Management;2004-01
China Proceedings of conference Full-text Database 2 Hits
1 GAO Yu- zhuo,ZHANG Hong-wei,LI Shuang-cheng (School of Managenent & Economics, Beijing Institute of Technology, BEIJING 100081, China; Hebei University of Economy and Trade,Shijiazhung 05000, China);Empirical Analysis of Price Volatility and Trading Volume in Chinese Stock Market[A];[C];2002
2 TIAN Da-wei, JIN Tai-yi (Shave and Future School, Shanghai University of Finance and Economics, Shanghai 200083 , China);The Relation between Equity Return and Trading Volume:A Survey Using Robust Approach[A];[C];2004
Chinese Journal Full-text Database 10 Hits
1 CHEN Xiao\|yue and SUN Ai\|jung (School of Economics and Management, Tsinghua University, Beijing 100084, China);Beta Is Dead: Evidence from China[J];JOURNAL OF PEKING UNIVERSITY(HUMANITIES AND SOCIAL SCIENCES);2000-04
2 HUANG Chen 1, REN Ruo en 1, LI Yan 2, BAI Man ying 1 (1 School of Economics and Management, Beijing University of Aeronautics and Astronautics, Beijing 100083, China 2 School of Business, Renmin University, Beijing 100872, China);Benchmark Interest Rate in China[J];Journal of Beijing University of Aeronautics and Astronautics(Social Sciences Edition);2002-02
3 HAN Dong~1,WANG Chun-feng~1,YUE Hui-yu~2(1.School of Management Tianjin University,Tianjin 300072,China;2.School of Law,Nankai University,Tianjin 300071,China);Inter-and Intra-day Liquidity Patterns——An Empirical Study Based on the Electronic Order-driven Market[J];Journal of Beijing University of Aeronautics and Astronautics(Social Sciences Edition);2006-02
4 HUANG Wen-bin(Economics Department,East China Normal University,Shanghai 200062,China);The Behavioral Research on Institutional Investors in Financial Market[J];Commercial Research;2004-02
5 YU Chun-hong (Economy and Administration college of Harbin engineering University, Harbin,150008 China);On the Current Coditions of Chinese Bill Market[J];Commercial Research;2004-15
6 Guo Hong1 Wu Kangping2;Liquidity Premium Analysis of Treasury Bonds Market in Shanghai Stock Exchange[J];Finance & Economics;2006-04
7 SONG Feng-ming,TAN Hui(School of Economics and Management,Tsinghua University,Beijing 100084,China);Commonality in Liquidity on an Order-driven Market:An Empirical Study on Chinese Stock Market[J];Collected Essays on Finance and Economics;2005-03
8 JI Lu1,CHEN Weizhong2 (1 Management School,Xian University of Transportation,Xian,Shanxi,710049,China; 2School of Economics and Management,Tongji University,Shanghai,200092,China);The Micro Composition of Market and Its Impacts on Market Liquidity[J];RESEARCH ON FINANCIAL AND ECONOMIC ISSUES;2000-09
9 Wu Wei-xing1,Liang Heng-yi2 (1.School of Banking and Finance,University of International Business,Beijing 100029,China; 2.Academy of Mathematics and System,Chinese Academy of Sciences,Beijing 100086,China);Overconfidence, number of shareholders and asset pricing[J];Research On Financial and Economic Issues;2005-05
10 ZHOU Kai-guo(Lingnan College, Zhongshan University, Guangzhou Guangdong 510275, China);The Effects of Stock Splits and Reverse Splits on Market Liquidity ——The Evidence from Hong Kong Stock Market[J];Research On Financial and Economic Issues;2005-05
©2006 Tsinghua Tongfang Knowledge Network Technology Co., Ltd.(Beijing)(TTKN) All rights reserved