银行间与交易所市场企业债流动性比较研究

发布时间：2018-04-09 16:56

本文选题：企业债　切入点：流动性　出处：《苏州大学》2014年硕士论文

【摘要】：流动性是企业债市场发展的命脉，流动性的好坏直接影响企业的融资效率和企业债市场金融功能的发挥。近年来我国企业债市场发展迅速，跨市场发行交易的企业债比重越来越大。但是银行间债券市场与交易所债券市场相互分割，企业债市场流动性缺乏且失衡的问题阻碍了企业债市场的健康快速发展，降低了市场运行效率。因此，，为了使企业债市场筹融资功能和资源配置的功能得以有效发挥，有必要对企业债市场的流动性问题进行深入研究。本文在借鉴国内外债券市场流动性研究成果的基础上，采用理论分析和实证研究相结合的方法，选择在银行间市场和交易所市场同时发行交易的企业债为研究对象，比较分析两市场企业债流动性水平、流动性影响因素以及流动性互动关系。首先，选取适合跨市场企业债流动性衡量的Amivest流动性比率对企业债两市场的流动性进行测度，并进行了统计描述分析；其次，构建面板数据模型，从外部环境、发行人特征和债券特征三方面选取了7个因素全面分析对企业债市场流动性的影响；最后从时间序列角度，利用格兰杰因果检验模型考察两市场流动性互动关系。研究结果表明：企业债在两市场的流动性水平相差悬殊，银行间市场具有更高的流动性；股市行情、债券余额和剩余期限对两市场流动性的影响存在显著差异；银行间市场企业债的流动性变化领先于交易所市场企业债流动性变化。基于实证结果，本文从投资主体、交易机制、托管体系及交易成本的角度深入剖析了企业债流动性的诸多差异及其成因，最后针对我国企业债的流动性问题提出推动建立统一高效、高流动性的企业债市场的建议。
[Abstract]:Liquidity is the lifeblood of the development of the enterprise bond market, and the liquidity directly affects the financing efficiency of the enterprise and the exertion of the financial function of the enterprise bond market.In recent years, the enterprise bond market in our country has developed rapidly, and the proportion of enterprise bonds issued and traded across the market is increasing.However, the inter-bank bond market and the exchange bond market are separated from each other, and the lack of liquidity and imbalance in the enterprise bond market hinder the healthy and rapid development of the enterprise bond market and reduce the efficiency of market operation.Therefore, it is necessary to study the liquidity of enterprise bond market in order to give full play to the function of raising and financing capital and the function of resource allocation in the enterprise bond market.Based on the research results of domestic and foreign bond market liquidity, this paper uses the method of theoretical analysis and empirical research to select corporate bonds which are issued and traded simultaneously in the interbank market and the exchange market as the object of study.Comparative analysis of the liquidity level of corporate bonds, liquidity factors and liquidity interaction between the two markets.Firstly, the Amivest liquidity ratio which is suitable for cross-market corporate bond liquidity measurement is selected to measure the liquidity of the two markets, and then the statistical description analysis is carried out. Secondly, the panel data model is constructed from the external environment.Three aspects of issuer characteristics and bond characteristics are selected to analyze the impact of seven factors on corporate bond market liquidity. Finally from the point of view of time series Granger causality test model is used to examine the interaction between the two markets liquidity.The results show that the liquidity level of corporate bonds varies greatly in the two markets, and the interbank market has higher liquidity, while the stock market, bond balance and remaining maturity have significant differences in the liquidity of the two markets.The liquidity change of corporate bonds in the interbank market is ahead of that in the exchange market.Based on the empirical results, this paper analyzes the differences and causes of corporate debt liquidity from the perspective of investment subject, transaction mechanism, trusteeship system and transaction cost.Finally, the paper puts forward some suggestions to promote the establishment of a unified, efficient and highly liquid corporate bond market in view of the liquidity of corporate bonds in China.
【学位授予单位】：苏州大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F275

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