The review of Financial Studies·vol29, No.5·January 2016

债券市场流动性的衡量

作者：Raphael Schestag，Philipp Schuster，Marliese Uhrig-Homburg

摘要：在现有文献中，衡量债券市场流动性并没有一致的方法。基于美国企业债券市场的日内和日度数据，本文首次全面地比较了所有常用的流动性衡量方式。我们发现基于高频日内数据的衡量方法之间有强烈的相关性，这意味着此前用所选定的测量方法得到结果是稳健的。大部分基于低频日度数据的衡量方法也通常而言很好地估计了交易成本。然而，这三种衡量方法显然处于领先地位：Corwin and Schultz's (2012)的高低价差估计，Roll(1984)的衡量方法以及Hasbrouck(2009)的Gibbs衡量方法。

关键词：债券流动性，交易成本，买卖差价，价格影响，资产定价

Measuring Liquidity in Bond Markets

Raphael Schestag，Philipp Schuster，Marliese Uhrig-Homburg

ABSTRACT

In the literature, there is no consensus on a common approach to measure bond liquidity. This paper is the first to comprehensively compare all commonly employed liquidity measures based on intraday and daily data for the U.S. corporate bond market. We find that high-frequency measures based on intraday data are very strongly correlated, implying that previous results should be robust regarding the chosen measure. Most low-frequency proxies based on daily data generally also measure transaction costs well. However, three proxies clearly take the lead: Corwin and Schultz's (2012) high-low spread estimator, Roll's (1984) measure, and Hasbrouck's (2009) Gibbs measure.

Key words: bond liquidity, transaction costs, bid-ask spread, price impact, asset pricing

原文链接：

http://rfs.oxfordjournals.org/content/early/2016/02/01/rfs.hhv132.short?rss=1

翻译：孙雨琦