我国银行间债券市场有效性研究

发布时间：2018-06-12 10:55

本文选题：银行间债券市场 + 市场有效性　；参考：《南京农业大学》2012年硕士论文

【摘要】：成熟的债券市场是一个国家金融市场的基石,是国家实施宏观调控传导中央银行货币政策的重要载体,对国家整个金融市场的长远发展起着至关重要的作用。近年来,我国债券市场得到了快速发展,从远落后于股票市场到目前已有大幅超过其规模的趋势。我国债券市场主要由场外市场银行间债券市场和场内市场交易所债券市场组成,其中银行间债券市场约占整个债券市场90%的债券托管量和交易量,银行间债券市场是我国债券市场的主体和核心。 ‘我国银行间债券市场正式成立于1997年,九十年代中期债券市场出现了许多类似“三二七国债期货”的违规事件,大量银行资金通过各种渠道流入股市,出于对风险的可控性,中国人民银行将商业银行从交易所债券市场撤出,成立了银行间债券市场,从此就形成了我国债券市场上银行间债券市场与交易所债券市场并存,但市场处于分割状态的债券市场格局。经过十余年的发展,银行间债券规模已经跃居世界第三,亚洲第二。在阶梯式的发展、金融环境大变化、市场分割的背景下,我国银行间债券市场有效性如何?它与另一个债券子市场交易所债券市场的效率比较与联动性是怎样的?这些都是亟待我们回答的问题。然而国内市场有效性的研究大部分集中在我国股票市场,部分对于债券的研究也是基于的交易所债券市场,针对银行间债券市场有效性的研究较少,且多为定性检验,研究的时期普遍在债券市场的起步阶段。本文将基于经典有效市场理论实证检验我国银行间债券市场有效性,并从定价效率价格发现角度研究其与交易所债券市场的联动性。全文主要以实证分析为主,定性分析为辅。本文首先对于关于市场有效性检验的相关理论以及文献进行回顾,并明确本文研究中的有效性体现为West和Tinic金融市场效率分类中的外在效率。总结经典市场有效理论的涵义与其后续的发展；对已有的有关市场有效性的文献进行综述,并比较前人在市场有效性检验上的途径与方法。然后介绍银行间债券市场的现状,分析其发展状况、组织结构、债券发行定价机制等,并在第五章第一节中比较分析了市场分割下其与交易所债券市场的主要不同。在研究分析了Fama有效市场假说理论,明确其假设前提基础上,选取相对应的实证检验方法；实证中采用描述性分析、游程检验、序列相关性检验和方差比检验等方法对银行间债券市场四类债券收益率分别进行实证检验,结果显示四类债券均未通过价格行为符合随机游走的检验,表明我国银行间债券市场还未达到Fama所定义的弱式有效,且四类债券检验结果并无明显区别；对债券市场收益率时间序列进行GARCH建模分析,结果显示GARCH模型可以较好的拟合其波动性,说明当前价格变动可以用过去的价格来进行预测,在带入风险参数的GARCH-M模型结果中显示,银行间债券市场中风险没有得到合理的溢价,存在一定的非理性；运用R/S分析法计算出银行间债券市场收益率Hurst指数,四类债券-Hurst指数显示均大于0.5,表明收益率存在长期记忆性,同样反映出银行间债券市场尚未达到弱式有效。在章节末,针对银行间债券市场所处有效性状态,结合实际现状给予一定的原因分析。在运用VAR模型研究银行间债券市场与交易所债券市场在信息定价效率、价格发现关联性的研究中,实证结果反映出银行间债券市场与交易所债券市场具有互相影响作用的关系,并在价格收益率序列上具有长期的均衡,从短期来看,银行间债券市场定价效率要低于交易所债券市场,交易所债券市场处于短期价格发现的主导地位。在与前人的研究结果比较中表明,近年来我国银行间债券市场效率有所提升,债券市场分割程度也得到了一定的缓解。文末总结全文,并给出一些对未来研究的展望。
[Abstract]:The mature bond market is the cornerstone of a national financial market. It is an important carrier for the state to carry out the monetary policy of the central bank through macro regulation and control. It plays a vital role in the long-term development of the whole financial market of the country. In recent years, China's bond market has been developed rapidly, from far behind the stock market to the present time. The bond market of our country is mainly composed of the inter-bank bond market and the exchange bond market in the field market, in which the inter-bank bond market accounts for about 90% of the bond market and the volume of the bond market. The inter-bank bond market is the main body and core of the bond market in China.
"China's interbank bond market was formally established in 1997. In the mid 90s, there were many irregularities in the bond market similar to" 327 treasury bonds futures ". A large number of bank funds flow into the stock market through various channels. For the controllability of the risk, the people's Bank of China withdrew commercial banks from the exchange bond market. Since then, the interbank bond market has formed the coexistence of the interbank bond market and the exchange bond market in our country's bond market, but the market is in the split state of the bond market. After more than ten years' development, the scale of interbank bonds has jumped to third in the world and second in Asia. What is the efficiency of the inter-bank bond market in China under the background of cutting? How is the efficiency and linkage of the bond market with another bond market? These are all questions to be answered. However, most of the research on the effectiveness of the domestic market is concentrated in the stock market in our country, and the research on the bond is also the basis of the research. In the exchange bond market, there are few studies on the effectiveness of inter-bank bond market, and most of them are qualitative test. The period of research is generally in the initial stage of the bond market. This paper will empirically test the effectiveness of the inter-bank bond market in China based on the classic effective market theory, and study its and exchange from the angle of pricing efficiency and price discovery. The linkage of the bond market is mainly based on empirical analysis and qualitative analysis as a supplement.
This paper first reviews the relevant theories and literature about the market effectiveness test, and makes clear that the effectiveness of this study is embodied in the external efficiency of the West and Tinic financial market efficiency classification. The paper also compares the ways and methods of the previous market effectiveness test, then introduces the current situation of the interbank bond market, analyzes its development, organizational structure, bond issuance pricing mechanism and so on. In the first section of the fifth chapter, it compares and analyzes the main differences between the market and the exchange bond market under the market segmentation.
In this paper, the Fama effective market hypothesis theory is studied and analyzed. On the basis of the hypothesis, the corresponding empirical test method is selected. The empirical test of the four types of bond yields in the inter-bank bond market is tested by descriptive analysis, run test, sequence correlation test and variance ratio test, and the results show four categories. The bond market has not passed the test of random walk through the price behavior, which indicates that the interbank bond market in our country has not yet reached the weak validity defined by the Fama, and there is no obvious difference between the results of the four types of bonds. The GARCH modeling analysis of the time series of the bond market returns shows that the GARCH model can better fit the volatility of the bond market. It shows that the current price changes can be predicted by the past price. In the GARCH-M model with the risk parameters, the risk of the inter-bank bond market is not reasonably priced, and there is a certain irrationality. The R/S analysis method is used to calculate the Hurst index of the rate of return of the interbank bond market, and the -Hurst index of the four kind of bond is shown. The show is greater than 0.5, indicating the existence of long-term memory, which also shows that the interbank bond market has not yet reached a weak effect. At the end of the chapter, it gives a certain reason for the effectiveness of the inter-bank bond market and the actual situation.
The VAR model is used to study the interbank bond market and the exchange bond market in the information pricing efficiency and the relevance of the price discovery. The empirical results reflect the relationship between the interbank bond market and the exchange bond market, and have a long-term equilibrium in the order of price returns. In the short term, the bank is a bank. The pricing efficiency of the inter bond market is lower than the exchange bond market, and the exchange bond market is in the dominant position of the short-term price discovery. In comparison with the previous research results, the efficiency of the inter-bank bond market in China has been improved in recent years, and the degree of the bond market segmentation has also been alleviated.
At the end of this paper, we summarize the full text and give some prospects for future research.
【学位授予单位】：南京农业大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

【参考文献】