A Study of Liquidity Premium and Flight-to-liquidity Behavior Within and Cross-Market
研究中国国债市场内不同流动性债券间的流动性溢价及流动性避险行为，并考察国债与公司债市场间的跨市场流动性避险行为。
This paper analyzes the liquidity premium problem and discusses the within-market flight-to-liquidity behavior in the Treasury bond market as well as the cross-market flight-to-liquidity behavior between the treasur- y and corporate bond market of China.It has been found that the flight-to-liquidity behavior among bonds with different liquidity in the Treasury bond market is significant,and investors transfer their investment into treasury bonds with higher liquidity within the market if they discover the deterioration of bond liquidity.However,the cross-market flight-to-liquidity behavior between the treasury and corporate bond market is marginal significantly