Dimension effect of the liquidity measuring of corporate bond market

Market liquidity includes the connotations of trade price, trade volume and trade speed. Using daily trade and quote data in Chinese corporate bond market, the empirical research finds that there is significant dimension effect in market liquidity measuring that the information of trade price, trade volume and trade speed overlaps less. The measures measuring single dimension such as bid-ask spread, trade volume and trade interval provide limited information of the market liquidity. The measures measuring more than one dimension such as auto-covariance of the price change and price impact of trades measure the status of the market liquidity more fully.