中美债券市场有效性比较研究

发布时间：2018-01-14 22:12

本文关键词：中美债券市场有效性比较研究　出处：《华东师范大学》2013年硕士论文　论文类型：学位论文

【摘要】：建立多层次的资本市场对促进一国经济发展和发挥金融市场机制具有重大意义,而在资本市场体系不断构建的过程中,判断市场在当前所处的发展阶段以及发展程度却是至关重要的,只有找出市场现行存在的问题,才能提出对应的政策建议,市场的发展才更加具有方向。近年来,我国债券市场迎来重大发展机遇,取得了一系列发展成果：市场基础设施日趋完善,债券品种不断推陈出新,债券市场容量进一步扩大,投资氛围活跃等,已然成为资本市场的重要组成部分。因此,我们有必要对债券市场的有效性进行检验,研究分析我国债券市场在当前所处的发展阶段,从而为探索我国债券市场未来的发展路径,完善我国多层次的资本市场做出有益尝试。本文首先对众多学者关于市场有效理论的研究进行梳理总结,详细阐述了市场有效性的内涵和理论基础。其次,引入美国债券市场作为参照对象,通过对中美债券市场发展历程和现状进行比较分析,找出我国债券市场与发达国家债券市场之间存在的差距。再者,文章对中美两国债券市场的内在效率性和外在效率性进行检验,通过定量分析全面展现上述两国债券市场的效率及差距。最后,基于上文的定性和定量分析,为促进我国债券市场发展提出了相关的政策建议。通过对中美两国债券市场现状对比分析以及内外在效率的实证检验,本文得到以下结论：美国债券市场已经建立起了有效的内部运行机制和外部制度保障,成为一个较为成熟的市场。在内在效率检验中,美国债券市场流动性充足,市场稳定机制充分发挥,市场透明度强；在外在效率检验中,美国债券市场对宏观信息反应敏感,并且通过了弱式有效检验,市场整体呈现有效率。反观中国债券市场,在债券规模、品种以及市场组织制度方面都存在不足,市场流动性及稳定性差,相关信息没有得到充分披露,且相较于股票市场,我国债券市场对宏观信息缺乏敏感性,无法通过弱式有效检验,这说明当前我国债券市场仍处于非效率状态,需要加强市场机制和外部制度建设。
[Abstract]:The establishment of a multi-level capital market is of great significance to promote the economic development of a country and a financial market mechanism, process and continuous construction in the capital market system, the market in the current stage of development and the degree of development is very important, only to find out the present problems of the market, it puts forward the corresponding policy proposal to. The development of the market will have more direction. In recent years, China's bond market ushered in a major development opportunity, made a series of achievements: market infrastructure, bond products innovation, the bond market capacity to further expand investment, active atmosphere, has become an important part of the capital market. Therefore, it is necessary for us to to test the effectiveness of the bond market, analysis of China's bond market in the current stage of development, so as to explore the Chinese bond market. The future development path of the field will make a useful attempt to improve the multi-level capital market in China.
This paper first summarizes the research on the effective market theory many scholars, elaborates the connotation and theoretical basis of the effectiveness of the market. Secondly, the introduction of American bond market as the reference object, and carries on comparative analysis through the development history and current situation of Sino US bond market, find out between the bond market and bond market in developed countries the gap between the two countries. Furthermore, the bond market internal efficiency and external efficiency test, through quantitative analysis of the full efficiency and the two countries the gap between market bonds. Finally, the qualitative and quantitative analysis based on the above, we put forward some suggestions to promote the development of China's bond market.
Through the analysis of the Sino US bond market situation at home and abroad comparison and empirical test efficiency, this paper obtained the following conclusions: American bond market has established the internal operation mechanism and external guarantee system effectively, become a mature market. In the efficiency test, the U.S. bond market liquidity is adequate, stable market mechanism fully play, the transparency of the market; in the external efficiency test, the bond market is sensitive to the macro reaction, and through the weak effective inspection, the overall market efficiency. In the present China in the bond market, bond market scale, varieties and organization system are insufficient, liquidity and market stability is poor, no relevant information full disclosure, and compared to the stock market, the bond market in China lack of sensitivity to macroeconomic information, not through the weak type of effective inspection, this It shows that the current bond market in China is still in a state of inefficiency, and it is necessary to strengthen the market mechanism and the construction of the external system.

【学位授予单位】：华东师范大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F837.12

【参考文献】