| 流动性补偿、市场内及跨市场“流动性转移”行为 |
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| 引用本文： | 谭地军,田益祥,黄文光.流动性补偿、市场内及跨市场“流动性转移”行为[J].金融研究,2008(9). |
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| 作者姓名： | 谭地军 田益祥 黄文光 |
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| 作者单位： | 电子科技大学管理学院;Cardiff;Business;School; |
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| 基金项目： | “教育部新世纪优秀人才支持计划项目”(教技函[2005]35号); “电子科技大学中青年学术带头人+创新团队支持计划”资助 |
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| 摘 要： | 本文分析了我国国债市场的流动性补偿问题,讨论了国债市场内部不同债券之间的流动性转移(Flight-to-liquidity)行为以及国债与企业债市场之间的跨市场流动性转移行为。研究结果发现:流动性显著影响我国国债市场收益率;我国国债市场上,国债市场内部不同债券之间的流动性转移行为显著,当投资者发现债券的流动性变差时,将在国债市场范围内选择流动性好的债券进行投资转移;国债市场与企业债券市场之间的跨市场流动性转移行为比较微弱。
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| 关 键 词： | 债券 流动性转移 资产定价 |
A Study of Liquidity Premium and Flight-to-liquidity Behavior Within and Cross-Market |
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| Tan Dijun Tian Yixiang Woon K Wong.A Study of Liquidity Premium and Flight-to-liquidity Behavior Within and Cross-Market[J].Journal of Financial Research,2008(9). |
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| Authors: | Tan Dijun Tian Yixiang Woon K Wong |
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| Abstract: | This paper analyzes the liquidity premium problem and discusses the within-market flight-to-liquidity behavior in the Treasury bond market as well as the cross-market flight-to-liquidity behavior between the treasur- y and corporate bond market of China.It has been found that the flight-to-liquidity behavior among bonds with different liquidity in the Treasury bond market is significant,and investors transfer their investment into treasury bonds with higher liquidity within the market if they discover the d... |
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