NDLI: Relation Between Interest Rate Difference and Trading Volume Difference in Chinese Inter-Bank Money Market

Content Provider	IEEE Xplore Digital Library
Author	Long-Zhen Fan Qi-Wen Liu
Copyright Year	2007
Description	Author affiliation: Fudan Univ., Shanghai (Long-Zhen Fan; Qi-Wen Liu)
Abstract	Inter-bank offerings (IBO) and repos are popular short-term transactions in Chinese inter-bank market. It is found that the difference of the interest rates is negatively correlated with the difference of trading volumes between IBO and repo with the same maturity. By examining the conditional expectation and variance using joint conditional density of the interest rate difference and the trading volume difference estimated by the SNP, the trading volume difference is found capable of explaining the expected difference of interest rates, which is consistent with the pricing theory that illiquidity is rewarded by higher expected return. The trading volume difference can also explain the volatility of the interest rate difference, indicating that liquidity shares the cause of market fluctuation. Moreover, the analysis confirms the influence of the interest rate difference on the investors' behaviors by showing that larger interest rate difference will relatively enlarge the subsequent trading volume difference, which also illuminates that the inter-bank money market is still dominated by the money lenders as a whole.
Starting Page	260
Ending Page	266
File Size	764919
Page Count	7
File Format	PDF
ISBN	9781424409723
DOI	10.1109/ICMLC.2007.4370151
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2007-08-19
Publisher Place	China
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Economic indicators Security Stock markets Machine learning Pricing Volume measurement Statistical analysis Insurance Conference management Financial management SNP IBO Repo Interest rate Trading volume
Content Type	Text
Resource Type	Article

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