中国债券ETF的引入对标的成分债券流动性的影响研究

发布时间：2018-03-08 05:24

本文选题：流动性　切入点：债券ETF　出处：《浙江大学》2017年硕士论文　论文类型：学位论文

【摘要】：自从2013年3月,我国的第一支债券ETF产品推出以来,国内ETF发展迈入了 2.0时代。然而,目前国内针对债券ETF的研究甚少,特别是债券ETF的引入对标的成分债券流动性的影响,以及以流动性指标为信号的债券ETF、标的债券的量化择时策略设计这两个问题是有待深入研究的。本文以博时上证企债30ETF为例,采用日交易数据,样本期间为从博时上证企债30ETF上市日(2013年8月16日)的前146个交易日到2017年1月9日,试图对以上两个问题进行回答。本文首先综合考量了 Bao,Pan和Wang(2010)、Amihud(2002)等提出的流动性度量指标,选取出适用于中国交易所债券市场的流动性指标,并利用主成分分析的方法构造了流动性综合指标。其次,通过双样本配对均值检验,本文发现债券ETF上市后,主成分综合指标在1%的水平上显著增加。进一步地,本文采用面板数据随机效应模型深入分析了标的债券流动性变化的影响因素。结果表明:时间虚拟变量与债券流动性的主成分综合指标在1%的水平上显著正相关,即说明债券ETF引入之后,主成分综合指标显著增大;银行间市场7天回购加权平均利率与主成分综合指标显著负相关,说明当市场资金环境趋紧时,债券交易量降低,流动性下降。随后,本文进行了稳健性检验,进一步证实了以上结果。综合以上结论,本文认为债券ETF的引入可以在价差、交易频率和换手率方面显著改善标的指数成分债券的流动性。最后,本文以构造的主成分综合指标为技术信号,采用双均线策略和布林带策略对债券ETF以及标的债券进行择时判断。通过样本内设计参数和样本外检验,本文发现:双均线策略可以实现比较好的效果;该策略在债券ETF上的运用效果优于在企业债券上的效果。本文进行择时研究主要是帮助投资者判断债券ETF及标的债券的涨跌,对投资起到指导意义。
[Abstract]:Since March 2013, the first bond ETF product in China has been launched, the domestic ETF development has entered a 2.0 era. However, there is little research on bond ETF in China, especially the influence of the introduction of bond ETF on the liquidity of underlying component bonds. The design of quantitative timing strategy for underlying bonds is to be further studied. This paper takes 30 ETFs on Shanghai Stock Exchange as an example and uses daily trading data. The sample period is from 146 trading days on the date of listing 30 ETFs (August 16th 2013) to January 9th 2017, and attempts to answer the above two questions. The liquidity index suitable for the bond market of China Stock Exchange is selected, and the comprehensive liquidity index is constructed by principal component analysis. Secondly, through the test of paired mean value of double samples, this paper finds out that the bond ETF is listed after it is listed. The principal component index increased significantly at the level of 1%. In this paper, the panel data stochastic effect model is used to analyze the influencing factors of the underlying bond liquidity. The results show that the time virtual variable is significantly positively correlated with the principal component index of bond liquidity at the level of 1%. That is to say, after the introduction of bond ETF, the principal component composite index increases significantly, and the weighted average interest rate of 7 days repurchase in the interbank market is negatively correlated with the principal component composite index, which indicates that the bond trading volume decreases when the market capital environment becomes tighter. Then, the stability test is carried out to further confirm the above results. Combined with the above conclusions, this paper thinks that the introduction of bond ETF can be used in the spread of the price. In terms of trading frequency and turnover rate, the liquidity of underlying index component bonds is significantly improved. Finally, the principal component synthesis index constructed in this paper is taken as the technical signal. The dual mean line strategy and the Bloom belt strategy are used to determine the timing of the bond ETF and the underlying bond. Through the design parameters in the sample and the test outside the sample, it is found that the dual mean line strategy can achieve better results; The application effect of this strategy on bond ETF is better than that on corporate bond. The timing study is mainly to help investors judge the rise and fall of bond ETF and underlying bond and play a guiding role in investment.
【学位授予单位】：浙江大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

【参考文献】