Arbeitspapier

The microstructure of China's government bond market

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.

Language
Englisch

Bibliographic citation
Series: Staff Report ; No. 622

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

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

Handle
Last update
10.03.2025, 11:42 AM CET

Data provider

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ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.

Object type

  • Arbeitspapier

Associated

  • Bai, Jennie
  • Fleming, Michael
  • Horan, Casidhe
  • Federal Reserve Bank of New York

Time of origin

  • 2013

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