Abstract: By introducing aggregate daily order imbalance variable as the indicator of trading activity in treasury bond market, and quoted spread as the indicator of market-wide liquidity, using intraday data, this paper investigates the impacts of order imbalance on quote spread and Treasury Bond returns, and analyzes the role of market maker on liquidity and price formation process. The results show that the order imbalance shock will cause inventory cost, which will lead market makers to adjust their quotes in order to control their inventory positions, and finally affects liquidity and price efficiency. Accordingly, it is necessary to further improve market maker system to enhance the price efficiency of Treasury Bond market.

摘要： 采用日内数据，以上交所固定收益平台国债市场订单流不平衡的总和为交易活动代理变量，买卖价差作为度量市场流动性的指标，通过实证检验订单流不平衡对买卖价差以及国债收益率的影响，分析固定收益平台做市商的做市行为对市场流动性及国债价格形成的影响。研究结果表明，我国固定收益平台订单流不平衡导致存货成本并影响做市商的报价行为；另外，做市商调整报价的存货管理方式会影响市场流动性与价格有效性。为此，需要进一步完善做市商机制，以提升固定收益平台国债市场价格的有效性。