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Research on Liquildity of Inter-bank Bond Market

Author: LiJun
Tutor: DaiZhiMin
School: Zhejiang University
Course: Finance
Keywords: Interbank bond market Liquidity Microstructure
CLC: F832.51
Type: Master's thesis
Year: 2008
Downloads: 264
Quote: 0
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Abstract


Inter-bank bond market is the main part of the interest rate market, and also it is an important part of the whole financial market system. Liquidity is an indicator of measuring the market maturity. Liquidity determines whether the inter-bank bond markets can function to its full ability, and has become a problem of hindering the development of inter-bank bond market.This paper uses the security market theory and market microstructure theory and the theory of knowledge, comprehensive use of qualitative and quantitative analysis in measuring the liquidity. Analyzing the results and to find out their reasons, at the last recommend on how to improve the liquidity of inter-bank bond market.Firstly, the article expatiates on the theory of the inter-bank bond market liquidity. Clarify the definition of the liquidity, as well as four indicators (width, depth, resiliency and immediacy) of the main measuring method. Secondly, review China’s inter-bank bond market’s history and current conditions, briefly describe China’s inter-bank bond market over the past years and focuses on the importance of inter-bank bond market. At the same time point out that the liquidity problem is the key issues of impeding the development of the inter-bank bond market. After that, through the inter-bank bond market transaction data mathematical analysis, we get a series of calculations to assess the inter-bank bond market liquidity indicator as good or bad. Comparing to the markets of developed countries we found our inter-bank bond market liquidity remained inadequate. Then, from the perspective of the market micro structure of our inter-bank bond market, including members of the market, product design, the trading mechanism, transaction costs, market structure and the transparency of information, such as the analysis of several major issues, the report looks at the reasons for the lack of liquidity. Finally, to address the problem and promote the inter-bank bond market’s development, we make some recommendations: Developing the inter-bank bond market investors, increasing the number of transaction product designs, improving trading mechanism, improving the disclosure of information and establishing and regulating the inter-bank bond market trading habits.

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CLC: > Economic > Fiscal, monetary > Finance, banking > China's financial,banking > Financial market
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