Abstract:
In this paper, we review development course of the interbank market maker system and its relationship with the bond market liquidity. Then we investigate the influence factors of bid-ask spreads by a full market cycle including a bull market and a bear market, and make a comparative study on market behaviors of different types of market makers and their effects of stabilizing the market under different market trends. We find that the liquidity market-makers provide is insufficient in general, while market makers outperform trial market makers. From the perspective of stabilizing the market by market makers, only big-five banks play a certain role. The reason is that market lacks segmentation and the corresponding incentive measures, which refrain market-maker from earning a profit. Only rankings of market makers(reputation) can bring certain incentive for big state-owned banks. So the more important market makers treat profit, the lower willingness of market making.
马永波, 郭牧炫. 做市商制度、双边价差与市场稳定性——基于银行间债券市场做市行为的研究[J]. 金融研究, 2016, 430(4): 50-65.
MA Yongbo, GUO Muxuan. Market Maker System,Bid-ask Spreads and Market Stability: Based on the Market Behavior of Interbank Bond Market. Journal of Financial Research, 2016, 430(4): 50-65.
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