Different Price Responses Between SSE Bond Market and Inter-bank Bond Market——Based on the Perspective of the Important Announcements

Chinese inter-bank bond market and SSE bond market are still in the state of division now.By establishing the GARCH model,this paper analyzes the different responses of the two markets to the macroeconomic announcements.It comes to a conclusion that SSE bond market can absorb macroeconomic information faster than inter-bank.In recent years,the efficiency of inter-bank bond market has been improved,and there is an asymmetric volatility in bond return in SSE bond market.Finally,this paper gives the suggestions about how to establish a unified bond market,including innovating the kind of bonds,founding effective mechanism of risk management.