不同市场周期中国银行间企业债的流动性研究

发布时间：2017-12-30 19:46

本文关键词：不同市场周期中国银行间企业债的流动性研究　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：2006-2012年间,美国的次贷危机和欧债危机引发的金融危机蔓延到全球许多重要的经济体,世界两大经济体债市所带来的影响逐渐引起人们的重视。近年来,我国债券市场发展迅速,市场规模已超过股票市场成为日益重要的投资工具。但是国内对于债券市场流动性的实证研究还比较缺乏。本文拟在这一时点对中国银行间债券市场中的企业债券的流动性特征进行研究。目的在于运用国外学者建立的经典Fama-Macbeth过程,结合我国银行间较为活跃的企业债品种的相关数据进行实证研究。通过对债券特性(代表了潜在流动性)和流动性指标的自变量拆解,来考察各种因素对债券利差(因变量)的量化解释程度。期望揭示债券价格影响因素中应当关注的几个关键因素；并对市场周期不同阶段各因素对于债券利差的影响程度进行比较分析；另外还根据不同风险评级的债券进行分组,比较债券特性和流动性指标对其解释能力的区别。本文的主要创新点和结论在于： (1)选取的样本较为合理新颖。中国银行间债券交易市场从规模和交易量上都占据了主要地位,企业债是其中较为活跃的品种,并且与国外公司债有一定的可比性。这样的样本选取方式即能够对国外学者的流动性理论方法在中国债券市场中进行验证,也可以比较国内外债券市场的差别,对未来债券市场的发展具有借鉴意义。结果表明,债券特性和流动性指标都比较显著。 (2)时间周期的划分较为独特。债券市场作为市场低迷阶段投资者的“避风港”。对于不同市场环境中,流动性要素对于债券利差的影响程度研究比较有趣。作者对市场进行了时段划分,发现不同市场环境下债券的流动性因素对债券利差的解释程度确实存在差异,但并不完全与国外市场的情况相同。 (3)对于不同风险评级的企业债券的分级研究较为有趣。我国的债券市场违约风险比较低,特别是企业债。根据国外学者的研究,在不同等级债券利差中,流动性相关指标对债券利差的解释作用也应该有所不同。作者按照风险评级进行分组后分析得出,在中国银行间市场,对于风险较高的企业债,流动性相关因素对其解释程度较好,比较符合预期。
[Abstract]:From 2006 to 2012, the financial crisis caused by the subprime mortgage crisis in the United States and the European debt crisis spread to many important economies around the world. In recent years, the bond market of our country has developed rapidly. The market size has surpassed the stock market as an increasingly important investment tool, but the empirical research on the liquidity of the bond market in China is still lacking. This paper intends to study the corporate bonds in China's interbank bond market at this point in time. The purpose of this study is to use the classical Fama-Macbeth process established by foreign scholars. Combining with the relevant data of the more active corporate bonds among banks in China, this paper analyzes the characteristics of bonds (representing potential liquidity) and the independent variable disassembly of liquidity indicators. To examine the quantitative interpretation of various factors to bond spreads (dependent variables), hoping to reveal the bond price impact factors should be concerned about several key factors; At the same time, the paper makes a comparative analysis of the influence of various factors on bond interest margin in different stages of market cycle. In addition, bonds with different risk ratings are grouped to compare the differences between bond characteristics and liquidity indicators. The main innovations and conclusions of this paper are as follows: The Chinese interbank bond trading market occupies the main position in terms of scale and trading volume, among which corporate bonds are the more active varieties. And there is a certain comparability with foreign corporate bonds. Such a sample selection method can be used to verify the liquidity theory of foreign scholars in the Chinese bond market, but also to compare the differences between domestic and foreign bond markets. The results show that the bond characteristics and liquidity indexes are significant. The bond market serves as a "safe haven" for investors in a depressed market. The influence of liquidity factors on bond spreads is interesting. The author divides the market into different periods and finds that there are some differences in the interpretation of bond liquidity factors to bond spreads in different market environments. But it is not exactly the same as in foreign markets. 3) the research on the classification of corporate bonds with different risk ratings is more interesting. The default risk of bond market in China is relatively low, especially corporate bonds. According to the research of foreign scholars, in the different grade bond spreads. Liquidity related indicators should also explain the bond spreads differently. According to the risk rating of the group analysis, in the interbank market in China, for the higher risk corporate bonds. The fluidity related factors explain it well and accord with the expectation.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F275

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