中国公司债券流动性影响因素实证研究

发布时间：2018-05-28 01:07

本文选题：公司债券 + 流动性衡量　；参考：《华中科技大学》2014年硕士论文

【摘要】：随着我国经济的发展，融资者的需求越来越大，但是我国的融资体系发展存在着直接融资的比例远低于间接融资的现象，这是非常不平衡的。同时，在我国直接融资中，公司债券市场的规模远不及其在发达国家成熟债券市场的占比。公司债券市场总体来说流动性差，发展较晚，是我国金融体系的薄弱环节。本文选取上海证券交易所的21家公司债券从2009年1月1日到2013年12月31日的样本数据进行公司债券流动性影响因素的实证研究。首先gamma指标和Amihud指标作为衡量流动性的指标，，然后用实际发行量、已发行期限、剩余期限、信用评级、价格波动、票面利率、交易规模这7个债券特征变量作为解释变量。采用构建面板数据模型、豪斯曼检验、异方差检验及修正进行具体的实证研究。经过本文对影响公司债券流动性影响因素的实证研究，发现价格波动和剩余期限与公司债券流动性存在负相关性，即价格波动、剩余期限越高，公司债券流动性就越小，反过来也是如此；而实际发行量、已发行期限、票面利率、交易规模与公司债券流动性存在正相关性，即实际发行量、已发行期限、票面利率、交易规模越高，公司债券流动性就越大，反过来也是如此。不同的变量的解释力度也是不同的。而信用评级对于公司债券流动性在此实证研究中没有明显相关性影响。说明我国公司债券市场的评级系统还是有所不足，有待完善。
[Abstract]:With the development of China's economy, the demand of financiers is increasing, but the proportion of direct financing is far lower than that of indirect financing in the development of financing system in China, which is very unbalanced. At the same time, in the direct financing of our country, the scale of the corporate bond market is far less than its proportion in the mature bond market in developed countries. Corporate bond market is a weak link in our financial system because of its poor liquidity and late development. From January 1, 2009 to December 31, 2013, a sample of 21 corporate bonds from Shanghai Stock Exchange is selected to study the influencing factors of corporate bond liquidity. First, gamma index and Amihud index are used as indicators to measure liquidity, and then seven characteristic variables of bond are used as explanatory variables: actual issuance amount, issued term, remaining term, credit rating, price fluctuation, coupon interest rate and trading scale. Using panel data model, Hausmann test, heteroscedasticity test and correction to carry out specific empirical research. Through the empirical research on the influencing factors of corporate bond liquidity, it is found that the price fluctuation and the residual period have negative correlation with the corporate bond liquidity, that is, the higher the remaining maturity, the smaller the corporate bond liquidity. The reverse is true; and the actual amount of issuance, the maturity of the issue, the coupon rate, the size of the transaction is positively correlated with the liquidity of the corporate bond, that is, the actual amount of issuance, the maturity of the issue, the coupon rate, the scale of the transaction, The more liquid corporate bonds are, the more the reverse is true. The interpretation of different variables is also different. There is no significant correlation between credit rating and corporate bond liquidity in this empirical study. It shows that the rating system of our country's corporate bond market is still insufficient and needs to be improved.
【学位授予单位】：华中科技大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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