Analysis On Liquidity Status Of China's Treasury Bond Market And Factors Influencing IT

Liquidity is one of the basic attributes of financial market and research on the liquidity of treasury bond market is very significant. However, literatures on the liquidity of China's treasury bond market are very limited and herein we analyze the characteristics of China's treasury bond market and factors affecting liquidity.There are four attributes, breadth, depth, immediacy and resiliency, which should be measured by liquidity. The ILLIQUIDITY index in the semi-strong efficient market can measure several attributes well and after modification of the accrued interest the ILLIQUIDITY index can well measure the bond liquidity. Analysis on the depth and breadth displays the lack of liquidity of China's treasury bond market compared with the foreign markets. China's treasury bond market has specific patterns of liquidity measured by ILLIQUIDITY index. The liquidity of China's treasury bond market can be partially predicted, which contributes to the construction of pricing models embodying the liquidity factor. Liquidity...