The microstructure of China's government bond market

Arbeitspapier

Although China now has one of the largest government bond markets in the world, the market has received relatively little attention and analysis. We describe the history and structure of the market and assess its functioning. We find that trading in individual bonds was historically sparse but has increased markedly in recent years. We find also that certain announcements of macroeconomic news, such as China's producer price index (PPI) and manufacturing purchasing managers' index (PMI), have significant effects on yields, even when such yields are measured at a daily level. Despite the increased activity in the market, we are able to reject the null hypothesis of market efficiency under two different tests for four of the most actively traded bonds.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: Staff Report ; No. 622

Classification and Topics

• Classification: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates
• Subject: trading activity ; market efficiency ; announcements ; interest rates

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Bai, Jennie ; Fleming, Michael ; Horan, Casidhe
• Event: Veröffentlichung
• (who): Federal Reserve Bank of New York
• (where): New York, NY
• (when): 2013

Further information

• Handle: http://hdl.handle.net/10419/93627
• Last update: 10.03.2025, 11:42 AM CET