交易所企业债收益率波动研究

发布时间：2018-05-10 07:52

本文选题：企业债 + 波动率　；参考：《苏州大学》2014年博士论文

【摘要】：波动率研究是金融风险计量和资产定价建模的基础。金融资产时间序列方差通常具有时变特点,但受波动难以直接观察的影响,直到20世纪70年末,关于方差的研究才逐渐成为研究的热点。学界与实务界对股票、外汇、债券和黄金等资产波动进行了广泛研究,但以交易所企业债为对象的研究相对不足。根据资产定价理论,利率债、股权连接债与普通企业债波动的决定因素不同,需区别研究。根据市场微观结构理论,场内市场和场外市场交易机制不同,开展独立研究也具有理论与现实意义。中国债券市场发展有其特殊规律。2009年以来,交易所企业债发行、交易规模持续快速增长,已成为多层次资本市场的重要部分。本研究以交易所企业债指数连续复利收益率为样本,利用GARCH模型刻画了交易所企债收益率波动的特点。然后,从市场层面影响交易所企债收益波动率的因素出发,利用交易额、活跃度、股票市场溢出和Shibor等四个因素解释交易所企业债收益率的波动,探究微观市场结构、资本市场、货币市场和交易所企业债收益波动率之间的关系。第一,对交易所指数收益率的特点进行了描述统计和计量分析,证明该时间序列具有尖峰厚尾、波动丛聚特点,存在自相关性和正反馈效应,并非白噪声过程。波动对初始值敏感,而对市场随机因素不够灵敏,具有长记忆性和混沌特征。此外,波动也不具有杠杆效应和风险溢酬效应。第二,基于微观金融市场结构理论的考虑,以市场交易额和交易活跃度为解释变量,研究其对交易所企债收益率波动的影响。结果证明2006-2013年期间,企债指数样本成交额对企债收益率波动并无影响。然后,通过两个阶段和不同指数收益率波动的比较分析,证明了交易额波动率和活跃度对企债收益波动率具有重要意义。二者的改善有助于降低企债收益率波动的长记忆性,增强对市场随机新息的反应强度,也有助于消除杆杠效应,但是,对风险溢酬没有产生影响。第三,基于金融市场波动溢出理论的考虑,分析了股指波动率和企债30指数波动率之间的关系。二元BEKK模型证明股指波动率和企债30指数收益波动率之间存在一定溢出关系,但既不稳定,也相对较弱,多数时间是围绕零值附近上下频繁波动。参数估值结果还表明,联合冲击对协方差的敏感度远大于新息的冲击,股债溢出关系也存在聚类特性,波动溢出的持续性较强。此外,波动溢出存在较大的杠杆效应。第四,基于企债定价理论和货币政策传导理论的考虑,以Shibor为解释变量估计了货币市场基准利率对企债收益率波动的影响。描述统计分析的结果表明,Shibor和Shibor波动率与企债30收益率之间并无确定关系。向量自回归模型和包含Shibor的广义条件异方差模型都具有统计意义上的显著性,但是,从具体程度来看,Shibor波动率与企债30收益波动率的影响也可以忽略不计,没有实际意义。综合来看,各部分的结论存在互相印证关系。交易额波动率和活跃度对企债收益率波动具有一定影响,但是,近年来,交易所企债市场交易额波动趋于减弱,二级市场交易活跃度也无明显改善,因此,二者对企债收益波动率的影响不够突出。股指波动溢出效应和Shibor波动对企债收益波动率的影响系数十分微小,很难产生实质性影响。由此可见,长记忆性能够主导交易所企业债收益波动率的统计解释是,微观市场结构层面变量的影响系数较大,但是,变量本身变动微弱,难以发挥作用。而市场间溢出和货币政策层面的变量变动较大,但是,这些变量和交易所企债收益波动率之间不存在理论上的紧密关系。造成这一结果的原因,一方面是债券市场本质特点的原因,另一方面也是市场化不足和市场发展程度较低的原因。交易所企债市场并非有效市场,长记忆性与风险溢酬缺失制约了其在金融资产定价、货币政策传导和资源配置方面的作用。通过利用描述统计和时间序列计量法刻画了交易所企债收益率波动的特性,并从市场层面做出了解释,丰富了资产收益率波动领域的研究成果。在实践方面,对固定收益证券风险计量、合理定价和证券投资组合管理具有参考价值,对监管层和市场主办方发展完善交易所企债市场也具有借鉴意义。
[Abstract]:Volatility research is the basis of financial risk measurement and asset pricing modeling. The variance of time series of financial assets is usually time-varying, but the influence of volatility is difficult to be observed directly. Until the end of the year of twentieth Century, the study of variance has gradually become a hot spot of research. The academic and real world on stock, foreign exchange, bond and gold, and other asset waves. A wide study is carried out, but the research on the exchange corporate debt is relatively inadequate. According to the asset pricing theory, the interest rate debt, the equity connection debt and the common enterprise debt volatility, the different determinants need to be distinguished. According to the market microstructure theory, the market and the over-the-counter market transaction mechanism is different and the independent research is reasonable. The theory and the practical significance.
Since the development of the Chinese bond market has its special law.2009, the exchange corporate debt issuance and the continuous and rapid growth of the transaction scale have become an important part of the multi-level capital market. This study takes the stock exchange rate of enterprise debt index as the sample, and uses the GARCH model to draw the characteristics of the volatility of the exchange rate of the exchange debt. Based on the factors that affect the volatility of the stock exchange earnings from the market level, we use four factors, such as trading volume, activity, stock market spillover and Shibor, to explain the volatility of the rate of return on corporate bonds, and explore the relationship between the micro market structure, the capital market, the currency market and the volatility of the exchange rate of enterprise bonds.
First, the characteristics of the index return rate of the exchange are described and analyzed. It is proved that the time series has the peak and thick tail, the characteristics of volatility clustering, the existence of autocorrelation and positive feedback effect, not the white noise process. The fluctuation is sensitive to the initial value, but is not sensitive to the market random factors, and has the characteristics of long memory and chaos. Besides, volatility does not have leverage effect or risk premium effect.
Second, based on the theory of microfinancial market structure, the effect of market trading volume and transaction activity as the explanatory variable is studied. The results show that the turnover of the enterprise debt index has no effect on the fluctuation of the debt yield in the period of 2006-2013 years, and then, through the two stages and the different index returns. The comparative analysis of rate fluctuation proves that the volatility and activity of the transaction amount are of great significance to the volatility of the debt income. The improvement of the two will help to reduce the long memory of the fluctuation of the debt yield, enhance the response intensity to the market random new interest, and also help to eliminate the bar effect, but it has no effect on the risk premium.
Third, based on the theory of financial market volatility spillover, the relationship between the volatility of stock index and the volatility of the 30 index is analyzed. The two yuan BEKK model proves that there is a certain spillover relationship between the volatility of the stock index and the yield volatility of the 30 index of the debt, but it is both unstable and relatively weak. Most of the time is a frequent wave around the zero value. The results of parameter estimation also show that the sensitivity of joint impact to covariance is far greater than the impact of new interest, and there is a clustering characteristic in the relationship between debt spillovers and volatility spillover. In addition, there is a greater leverage effect in volatility spillover.
Fourth, based on the consideration of the theory of debt pricing and the theory of monetary policy transmission, the influence of the benchmark interest rate on the volatility of the debt yield is estimated with Shibor as the explanatory variable. The results of the descriptive statistics show that there is no definite relationship between the volatility of Shibor and Shibor and the 30 yield of the debt. The vector autoregressive model and the inclusion of Shibor The generalized conditional heteroscedasticity model has statistical significance, but from the specific point of view, the influence of the Shibor volatility and the 30 revenue volatility can be ignored, and there is no practical significance.
In a comprehensive way, the conclusions of each part have mutual evidence. The volatility and activity of the transaction amount have a certain influence on the fluctuation of the debt yield. However, in recent years, the volatility of the trading volume of the exchange market in the exchange market tends to weaken, and the activity of the two level market has not been significantly improved. Therefore, the two parties have not had a prominent effect on the volatility of the debt yield. The influence coefficient of the volatility spillover effect and the Shibor fluctuation on the volatility of the debt yield is very small, and it is difficult to produce a substantial effect. Thus, the statistical interpretation of the long memory ability to dominate the volatility of the exchange corporate debt is that the influence coefficient of the variables in the micro market structure is larger, but the variable itself is weak and difficult. However, there is no theoretical close relationship between these variables and the volatility of the exchange rate. The reason for this result is the reason of the essential characteristics of the bond market, the other is the shortage of market and the degree of market development. The reason is low.
The stock exchange market is not an effective market, the long memory and the lack of risk premium restrict its role in the financial asset pricing, monetary policy transmission and resource allocation. Through the use of descriptive statistics and time series measurement, the characteristics of the volatility of the exchange rate of exchange debt are depicted, and the explanation is made from the market level. In practice, it is of reference value for the measurement of fixed income securities risk, reasonable pricing and portfolio management, and is also of reference for the regulatory and market organizers to develop and improve the exchange market.

【学位授予单位】：苏州大学
【学位级别】：博士
【学位授予年份】：2014
【分类号】：F832.51;F275

【参考文献】