固定收益平台国债价格发现的实证研究

发布时间：2019-04-25 11:17

【摘要】：国债定价是债券市场的核心功能,其发挥程度依赖于国债市场价格发现机制的有效性。国债价格发现一直是金融市场微观结构理论的研究焦点。近年来,国外越来越多的文献以订单流不平衡作为交易活动的代理变量研究债券市场的价格行为。目前国内关于国债市场价格行为的研究大多以成交量作为交易活动的代理变量。相对成交量标量指标,订单流不平衡是矢量指标,包含更多有关交易活动的信息。因此,本文通过对国外涉及订单流不平衡与国债价格发现的大量文献进行梳理后,提炼出本文的关键论点,并在我国国债市场微观结构研究中引入订单流不平衡这一变量,将其作为国债市场供求关系的直接反映以及国债价格信息的传导中介,对中国上海证券交易所固定收益证券综合电子平台的国债交易商市场价格发现机制及其效率进行实证研究。本文首先考察了整个市场订单流不平衡的总和的自相关特征及其与国债市场变化、国债市场流动性的关系。其次,通过检验整个市场订单流不平衡的总和对国债市场收益率的影响,分析固定收益平台做市商的做市行为对国债价格形成的影响。研究结果表明,我国固定收益平台整个市场订单流不平衡的总和会导致存货成本并影响做市商的报价行为;另外,做市商调整报价的存货管理方式会影响国债市场流动性与国债价格有效性。最后,本文又将订单流不平衡分为短、中、长期三组,对固定收益平台国债交易商市场全部交易日、非信息公开交易日订单流不平衡与国债到期收益率的关系以及订单流不平衡在国债交易商市场价格发现中的信息功能进行了实证研究。研究结果表明,固定收益平台国债交易商市场的订单流不平衡包含一定程度的私人信息且不同期限的订单流不平衡包含的私人信息含量不同,中短期订单流不平衡对国债到期收益率的负向冲击作用较为持久,而长期订单流不平衡对国债到期收益率具有正向冲击作用,说明订单流不平衡影响国债价格形成的信息机制是存在的,以一级交易商为核心的固定收益平台国债交易商市场的价格发现效率仍待提高。基于此研究,本文最后为完善固定收益平台做市商制和以一级交易商为中心的价格发现机制提供了相关政策建议。作者希望通过本文的研究,一方面丰富国内债券市场微观结构价格发现理论和实证研究,另一方面为提升固定收益平台国债市场有效性提供有用的政策建议。
[Abstract]:Treasury bond pricing is the core function of the bond market, which depends on the effectiveness of the price discovery mechanism in the bond market. The discovery of the price of treasury bonds has always been the focus of research on the microstructure theory of financial markets. In recent years, more and more foreign literatures study the price behavior of bond market by using the order flow imbalance as the agent variable of trading activity. At present, most of the research on the price behavior of the national debt market takes the trading volume as the agent variable of the trading activity. Relative to volume scalar index, order flow imbalance is a vector index, including more information about trading activity. Therefore, by combing a large number of foreign literatures related to the imbalance of order flow and the discovery of the price of national debt, this paper extracts the key points of this paper, and introduces the variable of order flow imbalance into the study of microstructure of our country's national debt market. As a direct reflection of the relationship between supply and demand in the national debt market and as an intermediary for the transmission of information on the price of national debt, This paper makes an empirical study on the price discovery mechanism and its efficiency of bond dealers on the integrated electronic platform of fixed income securities in Shanghai Stock Exchange of China. In this paper, we first investigate the autocorrelation characteristics of the total unbalance of the order flow in the whole market and its relationship with the changes of the national debt market and the liquidity of the national debt market. Secondly, the paper analyzes the influence of the market-making behavior of fixed-income platform on the formation of the price of national debt by examining the influence of the total unbalance of the order flow on the yield of the national debt market. The results show that the total unbalance of the whole market order flow in China's fixed income platform will lead to inventory cost and affect the quoted price behavior of market makers. In addition, the stock management mode of market-maker adjusting quotation will affect the liquidity of the national debt market and the effectiveness of the price of the national debt. Finally, this paper divides the imbalance of order flow into three groups: short, medium and long-term, for the fixed income platform bond dealer market all trading days, This paper makes an empirical study on the relationship between the imbalance of order flow and the maturing yield of treasury bonds on the non-information open trading day and the information function of the imbalance of order flow in the price discovery of bond dealers. The results show that the order flow imbalance in the fixed income platform bond dealer market contains a certain degree of private information and the content of private information contained in the order flow imbalance with different maturity is different. The imbalance of short-and medium-term order flow has a long-term negative impact on the maturing yield of national debt, while the imbalance of long-term order flow has a positive impact on the maturing yield of national debt. It shows that the information mechanism that the imbalance of order flow affects the formation of bond price exists, and the price discovery efficiency of fixed income platform bond dealer market with primary dealer as the core is still to be improved. Based on this research, this paper finally provides some policy suggestions for perfecting the fixed income platform market-making system and the price discovery mechanism centered on primary dealers. On the one hand, the author hopes to enrich the theory and empirical research on the price discovery of domestic bond market microstructure, and on the other hand to provide useful policy suggestions for enhancing the efficiency of the fixed income platform bond market.
【学位授予单位】：浙江工商大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F812.5

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