摘要
本文考察了上海银行间同业拆借市场做市商买卖价差的特征,并研究了该价差的影响因素。实证结果表明,上海银行间同业拆借市场做市商的买卖价差具有显著的聚集效应,不同类型银行的买卖价差水平在不同拆借品种上是不一致的;隔夜拆借的买卖价差具有显著的周内效应,呈现倒"V"特征,在周三的买卖价差是最高的;买卖价差假日交易的波动更小;在正式运行阶段,买卖价差的波动率均有很大提高,对于交易活跃的拆借品种来说,其买卖价差水平均有所下降。本文采用了AR(1)-GJR(1,1)对Shibor的条件异方差进行建模。OLS回归模型表明上海银行间同业拆借市场的买卖价差并不受市场利率和市场波动的影响,与成熟市场买卖报价的影响模式存在显著差异。这说明上海银行间同业拆借市场做市商的定价水平有待提高。
By investigating the bid-ask spread in Shanghai Interbank Borrowing Market, this paper analyzes the characteristics and determining factors of the bid-ask spread. Empirical results imply that bid-ask spread clusters significantly： the bid-ask spreads differ among banks and products. The overnight bid-ask spread has a significant day-of-the week pattern of an inverse V shape. The volatility of bid-ask spread is much smaller in holidays. Volatility of bid-ask spread increases and the level of bid- ask spread decreases in many offered products in 2007. The paper models conditional volatility of Shibor with AR（1）-GJR （1,1）. OLS regression results suggest that Shibor and volatility of Shibor do not affect bid-ask spread, which is different from the developed financial markets in the world. The pricing ability of market makers in the Shanghai Interbank Borrowing Market needs to be further improved.
出处
《证券市场导报》
CSSCI
北大核心
2008年第8期36-41,45,共7页
Securities Market Herald
