做市商制度对我国银行间债券市场流动性的作用
发布时间：2018-07-14 14:34
【摘要】：随着近年来加快发展债券市场政策的颁布实施,我国债券市场的整体框架已经建立,其基本功能也得以初步显现。但总体而言,我国债券市场仍处于初级发展阶段,与股票市场的发展相比而言较为滞后。就债券的交易市场而言,柜台市场、交易所市场和银行间市场互不关联,全国统一互联的债券市场尚未建立。同时,不同的交易市场均面临市场流动性不足、效率低等市场质量问题,因此,如何提升我国债券交易市场的质量是一个重要而迫切的问题。 从国外债券市场的发展来看,目前债券交易主要在场外市场进行,场外市场的交易机制以报价驱动为主,不同的交易机制对市场质量有何影响,近年来已成为国外理论和实务界人士关注的重点。 从国内研究来看,近年来也有一些学者开始从市场微观结构理论的角度来研究我国债券市场的质量问题。但总体而言,对市场微观结构理论的运用较常见于股票市场,对债券市场微观结构的研究有待深入。 我国债券市场功能的实现需要提高债券交易市场的质量。流动性作为证券市场的公共属性,贯穿于市场存在的全过程。流动性作为衡量证券市场质量的重要指标,不仅能体现市场变现能力,更能衡量一个市场成熟与否。由于篇幅所限,在本文中仅就交易机制对市场流动性的影响进行研究。 银行间债券市场作为我国最大的证券市场,同时也是第一个正式引入做市商制度的金融场外市场,已经积累了近15年的实践经验和相关数据。为交易机制对市场流动性的研究提供了一个非常有价值的样本,因此对于银行间债券市场的做市商制度进行研究具有较强的理论意义和现实意义。 本文的内容一共有五章,各章节的主要内容为： 第一章导论是本文的理论基础,研究从金融市场微观结构角度——做市商制度出发,对银行间债券市场流动性的影响的意义,对国内外对金融市场微观结构理论、做市商制度理论及流动性定义、衡量理论的相关文献做了详细的回顾与梳理。在本章的结尾指出了本篇硕士论文的章节安排、研究方法及工作的创新与不足之处。 第二章回顾了我国债券市场从无到有、从初创到规范的发展历程,介绍了我国债券市场现行的三种交易机制,比较了做市商制度相对于其他交易机制(询价制)的优劣势。从不同角度介绍了在我国银行间债券市场引入确立做市商制度的背景,介绍了做市商制度自引入后从探索到规范到完善三个主要阶段的发展,以及当前做市商制度在银行间债券市场的的发展现状。 第三章介绍了做市商的做市机理,从理论上研究了做市商制度在促进银行间债券市场流动性这一问题上是怎么样发挥作用的。 第四章先对流动性衡量的具体指标进行了解释,再选取换手率指标对当前银行间债券市场流动性的总体情况做了分析,最后从买卖价差和换手率两个指标层面出发对银行间债券市场的流动性进行了实证研究及统计检验(非参数检验方法),得出结论：做市商制度的实行确实对于银行间债券市场流动性的改善起到了积极的作用。 第五章是本文的结论及政策建议。在总结前面各章理论分析和实证研究的基础上,得出结论：在全球场外交易市场占主导地位的做市商制度对于改善我国银行间债券市场流动性有积极的作用。在本章的最后给出旨在完善我国银行间债券市场做市商制度的四点政策建议：一是增加做市商数量和种类,扩大市场容量；二是建立竞争性的做市商制度；三是充分发挥货币经纪作用,建立做市商内部市场；四是推出风险保护机制,丰富市场避险工具。
[Abstract]:With the development of the development of bond market policy in recent years , the whole framework of our country ' s bond market has been established and its basic function has been preliminarily revealed . However , in general , our country ' s bond market is still in the primary stage of development , and the bond market is not established . At the same time , the different trading markets face the market quality problems such as insufficient market liquidity and low efficiency . Therefore , it is an important and urgent problem how to improve the quality of China ' s bond market .
From the development of foreign bond market , the current bond transaction is mainly carried out in the off - site market , the transaction mechanism of OTC market is dominated by quotation , and the different trading mechanism has influence on the market quality . In recent years , it has become the focus of foreign theoretical and practical circles .
From domestic research , some scholars have begun to study the quality problem of our country ' s bond market from the perspective of market microstructure theory .
The realization of the bond market function of our country needs to improve the quality of the bond market . The liquidity serves as the public property of the security market and runs through the whole process of the market . The liquidity serves as an important index to measure the quality of the stock market . It can not only reflect the market liquidity , but also measure the maturity of a market .
As the largest stock market in our country , the inter - bank bond market is also the first financial market outside the market , which has accumulated nearly 15 years of practical experience and relevant data .
The contents of this paper are five chapters . The main contents of each chapter are as follows :
In the end of this chapter , the author points out the chapter arrangement , the research methods and the innovation and deficiency of this thesis .
The second chapter reviews the development course of our country ' s bond market , and introduces the three kinds of trading mechanism in our country ' s bond market , compares the advantages and disadvantages of the market - making system with respect to other transaction mechanism ( inquiry system ) .
In the third chapter , the author introduces the market mechanism of the market makers , and theoretically studies how the market - maker system plays a role in promoting the liquidity of the inter - bank bond market .
The fourth chapter explains the specific indexes of the liquidity measurement , then analyzes the general situation of the liquidity of the bond market in the current inter - bank bond market by selecting the index of exchange rate . At last , the empirical research and statistical test on the liquidity of the inter - bank bond market are carried out from the aspects of the transaction price difference and the exchange rate . The conclusion is that the implementation of the market - market system does play a positive role in the improvement of the liquidity of the inter - bank bond market .
The fifth chapter is the conclusion and policy suggestion of this paper . On the basis of summarizing the previous chapters ' theoretical analysis and empirical research , it is concluded that the market - maker system dominated by the global OTC market plays a positive role in improving the liquidity of our inter - bank bond market .
Second , the establishment of a competitive market - making system ;
Third , to give full play to the role of money broker and establish the internal market of market makers ;
Fourth , introduce the risk protection mechanism and enrich the market hedging instrument .
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51
[Abstract]:With the development of the development of bond market policy in recent years , the whole framework of our country ' s bond market has been established and its basic function has been preliminarily revealed . However , in general , our country ' s bond market is still in the primary stage of development , and the bond market is not established . At the same time , the different trading markets face the market quality problems such as insufficient market liquidity and low efficiency . Therefore , it is an important and urgent problem how to improve the quality of China ' s bond market .
From the development of foreign bond market , the current bond transaction is mainly carried out in the off - site market , the transaction mechanism of OTC market is dominated by quotation , and the different trading mechanism has influence on the market quality . In recent years , it has become the focus of foreign theoretical and practical circles .
From domestic research , some scholars have begun to study the quality problem of our country ' s bond market from the perspective of market microstructure theory .
The realization of the bond market function of our country needs to improve the quality of the bond market . The liquidity serves as the public property of the security market and runs through the whole process of the market . The liquidity serves as an important index to measure the quality of the stock market . It can not only reflect the market liquidity , but also measure the maturity of a market .
As the largest stock market in our country , the inter - bank bond market is also the first financial market outside the market , which has accumulated nearly 15 years of practical experience and relevant data .
The contents of this paper are five chapters . The main contents of each chapter are as follows :
In the end of this chapter , the author points out the chapter arrangement , the research methods and the innovation and deficiency of this thesis .
The second chapter reviews the development course of our country ' s bond market , and introduces the three kinds of trading mechanism in our country ' s bond market , compares the advantages and disadvantages of the market - making system with respect to other transaction mechanism ( inquiry system ) .
In the third chapter , the author introduces the market mechanism of the market makers , and theoretically studies how the market - maker system plays a role in promoting the liquidity of the inter - bank bond market .
The fourth chapter explains the specific indexes of the liquidity measurement , then analyzes the general situation of the liquidity of the bond market in the current inter - bank bond market by selecting the index of exchange rate . At last , the empirical research and statistical test on the liquidity of the inter - bank bond market are carried out from the aspects of the transaction price difference and the exchange rate . The conclusion is that the implementation of the market - market system does play a positive role in the improvement of the liquidity of the inter - bank bond market .
The fifth chapter is the conclusion and policy suggestion of this paper . On the basis of summarizing the previous chapters ' theoretical analysis and empirical research , it is concluded that the market - maker system dominated by the global OTC market plays a positive role in improving the liquidity of our inter - bank bond market .
Second , the establishment of a competitive market - making system ;
Third , to give full play to the role of money broker and establish the internal market of market makers ;
Fourth , introduce the risk protection mechanism and enrich the market hedging instrument .
【学位授予单位】：西南财经大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51
【参考文献】
相关期刊论文 前10条
1 纪路,陈伟忠;市场微观结构及其对市场流动性的影响分析[J];财经问题研究;2000年09期
2 董瑞华;王U，
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