Dimension effect of the liquidity measuring of corporate bond market

Author

Min Xiao-ping

Author_Institution

Sch. of Finance, Jiangxi Univ. of Finance & Econ., Nanchang, China

fYear

2013

fDate

17-19 July 2013

Firstpage

1551

Lastpage

1557

Abstract

Market liquidity includes the connotations of trade price, trade volume and trade speed. Using daily trade and quote data in Chinese corporate bond market, the empirical research finds that there is significant dimension effect in market liquidity measuring that the information of trade price, trade volume and trade speed overlaps less. The measures measuring single dimension such as bid-ask spread, trade volume and trade interval provide limited information of the market liquidity. The measures measuring more than one dimension such as auto-covariance of the price change and price impact of trades measure the status of the market liquidity more fully.

Keywords

covariance analysis; pricing; stock markets; Chinese corporate bond market; bid-ask spread; corporate bond market liquidity measurement; dimension effect; price auto-covariance; trade price; trade speed; trade volume; Correlation coefficient; Frequency measurement; Robustness; Security; Stock markets; Time measurement; Volume measurement; corporate bond; dimension effect; liquidity; measure;

fLanguage

English

Publisher

ieee

Conference_Titel

Management Science and Engineering (ICMSE), 2013 International Conference on

Conference_Location

Harbin

ISSN

2155-1847

Print_ISBN

978-1-4799-0473-0

Type

conf

DOI

10.1109/ICMSE.2013.6586476

Filename

6586476