企业债券银行间市场和交易所市场的溢出效应

发布时间：2018-01-05 02:01

本文关键词：企业债券银行间市场和交易所市场的溢出效应　出处：《复旦大学》2012年硕士论文　论文类型：学位论文

更多相关文章： 企业债券 波动溢出 BEKK-GARCH模型

【摘要】：由于交易制度和托管模式等方面的差异,我国企业债券市场一直被认为处于分割状态。但是由于两个市场具有大量的共同交易品种,而且转托管制度也已经建立,两个市场间是否存在信息流动则需要进一步研究方能确定。一个市场的收益率及其波动可能受到另一个市场前期收益率及波动的影响,这被称为均值溢出或波动溢出。资本市场的现代化进程是增强统一性,消除市场隔离,促进价值回归的过程,研究两个市场间的溢出效应是否存在,若存在,那两个市场的相关程度有多大,动态相关是否稳定都值得进一步研究。本文在回顾不同市场间溢出效应研究的理论研究文献和实证研究文献的基础上对企业债券发展现状,银行间市场和交易所市场债券市场进行简要介绍,接着以2010年4月21日-2012年2月2日银行间企业债指数日收益率和上证企债指数日收益率为研究对象,通过构建BEKK-GARCH模型,对两个市场间的溢出效应的大小和方向进行实证研究,均值方程采取VAR形式。研究结论表明：两个市场存在显著的波动溢出效应,信息流动是双向的；交易所企业债市场对银行间企业债市场存在显著的均值溢出效应,反之则不显著；两个市场收益率的动态相关系数时大时小,十分不稳定,显示两个市场的一体化程度较低。对于实证结论,本文从共同投资者的影响、跨市场转托管制度、交易模式等多个方面对两个市场的波动溢出效应和均值溢出效应做出解释,并分析了两个市场一体化程度较弱的原因。最后,本文针对如何提高两个市场的一体化程度给出了政策建议。
[Abstract]:The differences between the transaction system and the trust model of the corporate bond market in China has been considered in the split state. But due to the two markets with a large number of common trades, and transfer the trusteeship system has also been established, two markets between the flow of information is the need for further research to determine the effect of a rate of return. The market and its volatility may be another market rate of return and volatility, this is called the mean spillover or volatility spillover. The capital market is to enhance the unity of the modernization process, eliminate market isolation, promote the value of regression, the existence of spillover effects between the two markets if it exists, the degree of correlation the two market is much, dynamic stability is worthy of further study.
Based on the review of theoretical literature and empirical research literature on spillovers between different markets on corporate bond development status, briefly introduced the inter-bank bond market and the exchange market, and then to April 21, 2010 -2012 year in February 2nd interbank enterprise bond index return and SSE corporate bond index as the research object, through the to construct the BEKK-GARCH model, the magnitude and direction of the spillover effect between the two markets. The empirical results mean equations take the form of VAR. The conclusion of the study shows that there exists significant spillover effects of the dynamic wave two market, the flow of information is bidirectional; corporate bond market exchange has significant mean spillover effect on the inter-bank bond market of enterprises. The converse is not significant; two market yields the dynamic correlation coefficient when small, is very unstable, that integration of the two markets The degree is low.
In conclusion, this article from the influence of common investors, cross market transfer the trusteeship system, many aspects of the transaction model of volatility spillover effect between the two markets and the mean spillover effect explanation, and analyzed the reason of the two degree of market integration is weak. Finally, this article on how to improve the degree of integration of the two markets are. Policy recommendations.

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

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