Liquidity of last resort: The role of X-bond trading in the Chinese government bond market
研究中国X-Bond平台中电子限价订单簿与协商交易的流动性差异，发现电子交易成本更低且通过流动性、信息渠道和外部性降低协商成本，该平台因缺乏做市商而成为管理库存风险的最后流动性来源。
ABSTRACT Traditional negotiation trading dominates the electronic limit order book (LOB) of the X-Bond platform in the Chinese government bond market. Using a unique dataset, we conduct the first systematic study of the X-Bond’s role. We find that: (1) trades via LOB are notably more cost effective than via negotiation, with cost differences influenced by factors such as trader groups, bond types, trade sizes, and on-/off-the-run status; (2) electronic trading reduces the costs of negotiation trades through increased liquidity, an information channel, and a liquidity’s externality; and (3) due to the absence of an interdealer market, the X-Bond platform primarily serves as a liquidity source of last resort for managing inventory risk.