中国公司债券交易量与价格波动的关系

摘要

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.%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.