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

債券市場流動性的衡量

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

摘要：在現有文獻中，衡量債券市場流動性并沒有一緻的方法。基于美國企業債券市場的日内和日度數據，本文首次全面地比較了所有常用的流動性衡量方式。我們發現基于高頻日内數據的衡量方法之間有強烈的相關性，這意味着此前用所選定的測量方法得到結果是穩健的。大部分基于低頻日度數據的衡量方法也通常而言很好地估計了交易成本。然而，這三種衡量方法顯然處于領先地位：Corwin and Schultz's (2012)的高低價差估計，Roll(1984)的衡量方法以及Hasbrouck(2009)的Gibbs衡量方法。

關鍵詞：債券流動性，交易成本，買賣差價，價格影響，資産定價

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

原文鍊接：

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

翻譯：孫雨琦