A Study on Bond Market Liquidity in China Based on the Real-time Trading Data

This paper,adopting the real-time trading data,analyzes the bond market liquidity in China by means of proportional bid-ask spread.It can be concluded that there is no obvious discrepancy in liquidity across different treasury bonds,that the liquidity of short-term and long-term bonds is comparatively better,that treasury bonds have the least bid-ask spread and convertible company bonds have the largest cumulative depth,and that close relationship exists between the liquidity and the volatility in bond market.