中国企业债券市场流动性实证研究

发布时间：2018-04-26 03:36

本文选题：企业债流动性 + 流动性指标　；参考：《山东大学》2012年硕士论文

【摘要】：作为企业获得直接融资的一种重要途径,企业债券的作用近年来愈发凸显。企业债券作为一种具有抵税、财务杠杆和防止企业控制权分散等优势的融资模式,国家和企业对企业债券融资对企业发展重要性的认识越来越深刻。近年来我国政府放松企业债的发行条件,鼓励中小企业通过发行企业债进行直接融资。从2008年发改委放宽了对企业债发行担保的要求“企业可以发行无担保的信用债券”(此前的企业债都必须由商业银行或保险公司等进行担保),到2009年国务院关于“稳步扩大中小企业集合债券和短期融资券的发行规模”的意见,企业债近年的受重视程度可见一斑。从1958年詹姆斯.托宾(James Tobin)首先提出金融资产流动性的概念至今,在理论上和实证上,研究者对市场流动性进行了广泛的研究。Amihud and Mendelson (1986)发现证券市场存在流动性溢价之后,在验证各证券流动性溢价的存在性、如何将流动性因素引入资产定价模型、流动性的影响因素等方面出现了大量的理论研究和实证检验,流动性成为市场微观结构理论研究的一个重要方向,流动性在国际债券市场中的溢价效应被广泛印证。流动性是提高企业债券的融资效率的重要要求和证券市场完善的重要标志,是企业债券的生命力的源泉,不具备流动性的企业债市场将逐步失去存在的必要。鉴于我国对企业债市场流动性的实证研究较为缺乏,而企业债在我国越来越受到重视,流动性问题也越来越凸显出来,本文选择对中国企业债市场的流动性进行研究。本文总结了近年来国内外学者在企业债券流动性溢价和流动性影响因素方面所做的研究,并对中国企业债市场的流动性溢价和流动性影响因素做了实证检验。为增强实证检验的稳健性,文章选择了三个间接构造的流动性代理指标——γ不流动性指标、Amivest流动性比率、ILLIQ非流动性测度；从企业债自身因素的角度,选取了剩余期限、修正久期、已发年限、发行量、票面利率、信用等级、嵌入期权(可回售性、看涨)、交易规模、债券价格波动9个可能的流动性影响因子。文章通过选取在上交所交易的37只企业债在2007年8月至2012年2月期间的交易数据,运用Excel和Stata软件对所获得的非平衡面板数据进行了实证检验。文章发现：首先,在我国企业债市场上,交易规模和价格波动是影响流动性水平的显著因素。作为交投活跃程度的表现,交易规模经常被作为流动性水平的直接代理变量使用,其作为一个影响流动性的显著因素的结论在本文针对中国企业债券市场流动性的实证检验中也得到了证实。价格波动成为影响我国企业债流动性的一个关键因素,价格波动越大,不流动性越显著；这说明由于企业债的相关信息披露制度不甚完善,投资者缺乏对价格变化进行判定的有效信息,不能及时调整交易以对价格波动做出反应；另外,我国企业债的信用等级普遍较高且大多数都有担保机构进行担保,投资者不担心企业违约的发生,不会因为价格波动而轻易进行投机交易获利。其次,无论选用何种流动性代理指标,目前在我国企业债市场中仍然没有显著的流动性溢价；信用风险和利率风险是影响我国企业债券的信用价差的两个显著因素；我国企业债的定价机制还有待完善。
[Abstract]:As an important way for enterprises to obtain direct financing , the role of corporate bonds has become more and more prominent in recent years . As a kind of financing model with advantages such as tax payment , financial leverage and dispersion of corporate control right , corporate bonds are becoming more and more important to corporate bond financing . In recent years , our government has relaxed the issuance of corporate bonds and encouraged small and medium - sized enterprises to provide direct financing through the issuance of corporate bonds .

From 1958 to James Tobin , the concept of financial asset fluidity was first put forward . On the basis of theory and practice , the researchers have conducted extensive research on the liquidity premium of the securities market . Amiens and Mendelson ( 1986 ) found that the existence of liquidity premium in the stock market , how to introduce liquidity into the asset pricing model , the influencing factors of liquidity , etc .

Liquidity is the important requirement of raising the financing efficiency of corporate bonds and the important symbol of the improvement of the securities market . It is the source of the vitality of corporate bonds , and the enterprise debt market with no liquidity will gradually lose its existence . In view of the lack of empirical research on the market liquidity of corporate bonds , the issue of corporate debt has become more and more important in our country , and the liquidity problem is becoming more and more prominent . In this paper , we choose to study the liquidity of the Chinese enterprise debt market .

This paper summarizes the research on the influence factors of liquidity premium and liquidity of corporate bonds at home and abroad in recent years , and makes an empirical test on the liquidity premium and liquidity influence factors of Chinese enterprise debt market . In order to strengthen the robustness of the empirical test , three indirect structures of liquidity agent index , Amivest fluidity ratio and ILLIQ non - liquidity measure are selected in this paper .
From the point of view of corporate debt itself , we have selected the remaining period , fixed time , service life , circulation quantity , coupon interest rate , credit rating , embedded options ( resales , bullish ) , transaction scale and bond price fluctuation . The article empirically tests the obtained non - balance panel data by selecting the transaction data of 37 enterprise debt which is traded on the SSE from August 2007 to February 2012 .

First , in our country ' s corporate debt market , the transaction scale and price fluctuation are the significant factors that influence the liquidity level . As the performance of the investment activity level , the transaction scale is often used as the direct proxy variable of liquidity level . As a result of the empirical test of the liquidity of China ' s corporate bond market , the price fluctuation becomes a key factor that affects the liquidity of Chinese corporate bond market .
This indicates that due to the imperfect information disclosure system of corporate debt , investors lack effective information on price changes and can ' t adjust the transaction in time to respond to price fluctuations ;
In addition , the credit rating of corporate bonds in our country is generally high , and most of them have guarantee institutions to guarantee , investors do not worry about the occurrence of the default of the enterprise , will not easily speculate trading profit because of price fluctuation .

Secondly , no matter what liquidity agent index is selected , there is still no significant liquidity premium in our country ' s corporate debt market .
Credit risk and interest rate risk are two significant factors that affect the credit spread of Chinese corporate bonds ;
The pricing mechanism of corporate debt in our country is still to be improved .

【学位授予单位】：山东大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

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