中文摘要：

我国银行间市场和交易所市场交易的部分债券相同,但短期价格行为有显著差异。本文构建了基于投资者类型的短期价格模型,将投资者分为以资产负债管理为主要目的＂配置型＂投资者和以价值增值为主要目的＂交易型＂投资者,并利用我国的市场分割现象进行实证研究,得到一般性结论：债券市场价差序列存在一阶自回归关系,投资者构成差异可以解释市场间短期价格行为的差异,＂配置型＂投资者能够减少市场短期波动。

英文摘要：

The products traded in China＇s two bond markets are same, but there are significant differences in terms of the types of market participants and short-term asset price behavior. This paper builds up short-term price model based on the type of investors. This paper conducts empirical research on segmentation in China bond markets and reaches the general conclusions.This paper holds that a first order autoregressive relationship exists in the market spread, and the differences in market short-term price behavior can be explained by structure of investors, and configuration investors can reduce the short-term fluctuations in the market.