| 流动性补偿、信息不对称与市场预期:央票发行对央票交易成本的影响分析 |
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| 引用本文： | 郑振龙,莫天瑜.流动性补偿、信息不对称与市场预期:央票发行对央票交易成本的影响分析[J].当代财经,2010(2). |
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| 作者姓名： | 郑振龙 莫天瑜 |
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| 作者单位： | 厦门大学,金融系,福建,厦门,361005;厦门大学,金融系,福建,厦门,361005 |
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| 基金项目： | 国家自然科学基金面上项目(70971114);;教育部应急项目(2009JYJR051);;福建省自然科学基金项目(2009J01316) |
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| 摘 要： | 基于对经济正常波动时期与金融危机时期央票发行对央票交易成本的影响分析,结论表明央票交易成本中流动性成本显著高于信息不对称成本。在经济正常波动时期,央票发行顺应市场预期,央票发行并未引起流动性成本和信息不对称成本的显著变化;在金融危机时期,央票发行出乎市场预期,央票发行引起信息不对称成本显著增加,指令流自相关系数显著降低。而央票市场的信息不对称成本,主要来源于机构投资者对公开信息的解读不同。
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| 关 键 词： | 交易成本 信息不对称成本 流动性补偿成本 市场预期 |
Liquidity Compensation, Information Asymmetry and Market Expectation:An Analysis of the Impact of Central Bank Bill issuing on Trading Cost |
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| ZHENG Zhen-long,MO Tian-yu.Liquidity Compensation, Information Asymmetry and Market Expectation:An Analysis of the Impact of Central Bank Bill issuing on Trading Cost[J].Contemporary Finance & Economics,2010(2). |
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| Authors: | ZHENG Zhen-long MO Tian-yu |
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| Institution: | Xiamen University;Xiamen 361005;China |
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| Abstract: | This paper studies the impact of central bank bill issuing on bill trading cost during the normal economic fluctuation period and the financial crisis period.The results provide evidence that in the trading cost of the central bank bill the liquidity cost is significantly higher than the information asymmetry cost.During the normal economic fluctuation period,the issuing of the central bank bill can meet the market expectation,causing no clear changes in the liquidity cost or information asymmetry cost;whil... |
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| Keywords: | trading cost information asymmetry cost liquidity compensation cost market expectation |
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