The Empirical Research Of Market Liquidity Measure And Its Determinants In Chinese Corporate Bond

For a long time, Chinese financial system developed unbalanced:economic activity was over-reliance on indirect financing and direct financing ratio is too low; In the direct financing, bond financing, particularly corporate bond financing was small scale. The corporate bond market has become the weak link in Chinese financial market development. To improve the financial system, our government and regulatory authorities explicitly put forward the strategic plan to vigorously develop the corporate bond market. However, poor mobility is an important factor which hinders the development of China’s corporate bond market. Therefore, how to develop Chinese corporate bond market, It is necessary to measure and determinants of research on Chinese corporate bond market liquidity, find ways to enhance the level of Chinese corporate bond market liquidity, and create a market mechanism and market environment that is conducive to the promotion of Chinese corporate bond market liquidity level.Through Chinese corporate bond market as a platform, a measure of market liquidity and the determinants as the main line, we respectively analyzed the inter-bank bond market, the Shanghai stock exchange and Shenzhen stock exchange bond market liquidity measure and its determinants. The main work and conclusions as follows:In the flow measurement, firstly, we specification defines the related concepts of the research, especially the liquidity definition, than analysis three dimensions:width, depth and instant, also elastic, which is comprehensive three dimensions. Secondly, through the empirical analysis of liquidity width, depth, instant and comprehensive measure in the inter-bank bond market, find that offer poor of enterprise bonds increase year by year overall, the market maker’s costs are increasing, trading volume, turnover, liquidity is good, but the transaction is not frequent in the inter-bank market. Again, based on data of liquidity measured, respectively compare the liquidity measure the different market trading mechanism, different bond varieties and the different market place, find that the inter-bank bond market trading volume is much higher than the Exchange bond market, but corporate bond trading is infrequent in the inter-bank bond market. The exchange bond market liquidity of corporate bonds is better than enterprise bonds in the dimensions of depth, instant and price shocks. The Shanghai Stock Exchange enterprise bonds liquidity depth and instant is inferior to the Shenzhen Stock Exchange enterprise bonds, while in the measure of liquidity elasticity, the Shanghai Stock Exchange enterprise bonds to be superior to the Shenzhen Stock Exchange enterprise bonds.In the liquidity determinants, Combining the characteristics of Chinese corporate bond market, Selecting the total trading volume, trading days, and Amihud index samples as the liquidity measure, regression analysis with the determinants:coupon interest rate, circulation, distribution period, age, remaining maturity, credit rating and options. The results show that:The coupon rate is not a significant factor in the enterprise bonds market liquidity, but it is a significant factor in the corporate bond market liquidity, the higher coupon rate, the better the liquidity. Circulation is a significant factor of liquidity decisions in the inter-bank market, providing evidence for the circulation of liquidity positive effect hypothesis, but it is not a significant factor to affect the exchange bond market liquidity, it is not obvious for distribution period and remaining maturity impacting on the market liquidity. Age is a significant factor to the decision of inter-bank market liquidity, the empirical data support the basic bond age of liquidity the negative effects of assumptions, but it not exist significant negative correlation of age on the exchange bond market with liquidity. Credit rating is not significant factors in Chinese corporate bond market, generally negative correlation with the market liquidity, Chinese corporate bond market speculation atmosphere is heavy and low credit ratings of corporate bonds is more favor with investors. Early option is not a significant effect on the liquidity, after2009, the option is already a significant influencing factor in Chinese bond market liquidity, there is a positive correlation between the options and liquidity measures, having option of corporate bonds has better liquidity.