This paper proposed a Transaction Price Decomposition Model and constructed a composite indicator to measure the efficiency of trading mechanism. Considering the participants and liquidity difference between markets, this indicator measured the true bias between transaction price and efficient price by excluding the impact of adverse selection, and decomposed price volatility into the part from innovation and the part from mechanism friction. Based on the bonds traded both in exchange and inter-bank bond markets and using transaction price high frequency data, we have the conclusion that trading mechanism in exchange is more efficient than that in inter-bank bond market and the big spread quoted by market makers in inter-bank market is due to the risk aversion of adverse selection. Comparing with the trading mechanism in exchange, the market maker mechanism is more suitable for block trading in which the transaction cost caused by the mechanism can be omitted.%通过构建交易价格分解模型,将交易机制效率进行量化,构造度量交易机制效率综合性指标,该指标充分考虑不同市场交易主体和流动性差异;剔除价差中的逆向选择部分,提取成交价格与有效价格的真实偏离,同时将价格波动归结为由债券新息引起的波动和由交易机制摩擦引起的波动两部分.选取在交易所和银行间市场同时交易的跨市国债作为研究对象,运用逐笔成交高频数据计算交易机制效率综合性指标的平均值和标准差,对两个市场交易机制效率进行对比研究.实证结果表明,交易所债市竞价交易机制价格误差更小,交易机制效率更高;银行间债市较大的报价价差源于做市商的逆向选择风险防范,而做市商机制的真实交易成本与交易所竞价机制相差较小,这种交易成本虽然不利于频繁买卖的现券交易,但对于大宗交易者来说可以忽略.
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