我国公司债券市场的有效性研究

发布时间：2018-01-13 23:06

本文关键词：我国公司债券市场的有效性研究　出处：《湖南大学》2012年硕士论文　论文类型：学位论文

【摘要】：2007年8月14日，中国证监会颁布实施了《公司债券发行试点办法》，标志着公司债券在我国正式开始发行交易。公司债券市场作为我国债券市场的重要组成部分，是公司直接融资的重要渠道，其市场有效性问题也受到越来越多学者的关注。提高公司债券市场的有效性，将有利于提高公司债券市场的运行效率，优化发债公司资本结构，推动我国资本市场的健康发展。本文以上证公司债指数价格序列作为研究的基础标的，基于有效市场理论和随机游走模型，从定性和定量两个角度分别验证了我国公司债券市场的有效性问题。本文遵循从理论到实践的研究路径。首先，本文对“公司债券”和“有效性”的内涵进行了科学界定，建立以信息不对称理论为基础、有效市场理论为基石的理论框架，并分析了影响公司债券市场有效性的主要因素。其次，本文在分析了我国公司债券市场的发展现状的基础上，从公司债券市场价格波动状况、流动性和投资者结构三个方面对其市场有效性进行了定性描述，认为公司债券市场的有效性还较低，并对其原因进行了简要分析。再次，本文以上证公司债指数在2009年1月5日到2012年4月6日的790个日收盘价和166个周收盘价为样本数据，，采用序列相关检验、游程检验和方差比检验三种方法对公司债券日/周收盘价和收益率序列进行分析，实证结果表明序列不服从随机游走过程，公司债券市场尚未达到弱式有效性，无需再对市场进行半强式和强式有效性的检验。最后，基于前文研究，从公司债券市场机制、信息披露制度和投资者行为三个方面提出了提高市场有效性的政策建议，以期推动我国公司债券市场的健康发展。
[Abstract]:In August 14th 2007, the CSRC promulgated and implemented the "Company Bonds issuance pilot measures". The company bond market is an important part of the bond market in our country, and it is an important channel for the direct financing of the company. Improving the efficiency of the corporate bond market will help to improve the efficiency of the corporate bond market and optimize the capital structure of the bond issuing company. To promote the healthy development of China's capital market. This paper takes the price series of Shanghai Stock Exchange company debt index as the basic research object, based on the efficient market theory and random walk model. The validity of Chinese corporate bond market is verified from both qualitative and quantitative aspects. This paper follows the research path from theory to practice. Firstly, this paper defines the connotation of "corporate bonds" and "effectiveness" scientifically, and establishes the information asymmetry theory as the foundation. Efficient market theory as the cornerstone of the theoretical framework, and analysis of the main factors affecting the effectiveness of corporate bond market. Secondly, this paper analyzes the development of corporate bond market in China on the basis of the current situation. This paper describes the market efficiency qualitatively from three aspects of price fluctuation, liquidity and investor structure of corporate bond market, and thinks that the efficiency of corporate bond market is still low. And the reasons are briefly analyzed. Thirdly, this paper takes the closing price of 790 days and the closing price of 166 weeks of Shanghai Stock Exchange debt index from January 5th 2009 to April 6th 2012 as the sample data. Using three methods: sequence correlation test, run test and variance ratio test, the paper analyzes the daily / weekly closing price and yield series of corporate bonds. The empirical results show that the sequence does not obey the random walk process. The corporate bond market has not yet reached the weak efficiency, there is no need to test the semi-strong and strong efficiency of the market. Finally, based on the previous research, from the corporate bond market mechanism. In order to promote the healthy development of our country's corporate bond market, three aspects of information disclosure system and investor behavior are put forward to improve the market effectiveness.
【学位授予单位】：湖南大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

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