中国公司债券交易量与价格波动的关系

使用中国沪深证券交易所的公司债数据,检验了债券交易量与价格波动的线性关系和非线性尾部相关性,分析了债券流动性水平对量价关系的影响,研究了债券量价关系的时变特征。结果表明:中国公司债市场中债券交易量与价格波动之间存在显著的线性关系;债券流动性水平对量价关系有显著影响,债券流动性水平越高(低),则量价关系越弱(强);债券交易量与价格波动存在非对称的下尾相关性;债券量价关系具有时变性,市场低风险时期量价关系较弱,市场高风险时期量价关系较强。

Relationship between Trading Volume and Price Volatility in Chinese Corporate Bond

This paper examines the linear relationship and the nonlinear tail dependence between trading volume and price volatility,and analyzes the impact of bond liquidity on the volume-volatility relation,and investigates the time-varying characteristic of volume-volatility relation based on the corporate bonds traded in China Shanghai and Shenzhen Stock Exchanges,The research result shows as follows:the linear relationship between volume and price volatility exists significantly in Chinese corporate bond market;bond liquidity influences the volume-volatility relation remarkably,and the relation is much weaker for higher liquidity bonds,and much stronger for lower liquidity bonds;there is an asymmetric lower tail dependence between bond volume and price volatility;the bond volume-volatility relation is characterized by time-varying,the relation is much weaker during lower market risk,and much stronger during higher market risk.