我国债券市场各部分的波动性及相关性研究

发布时间：2018-06-15 02:00

本文选题：债券 + GARCH模型　；参考：《复旦大学》2014年硕士论文

【摘要】：近年来,中国债券市场变得越来越重要,交易量越来越大,参与者越来越多。在金融市场上,债券市场已经逐渐拥有与股票市场同等重要的地位。投资者很关心债券市场的风险,因此对债券波动性的研究很有必要。由于我国债券市场分为几个部分,在同样的宏观经济环境下,理论上各债券市场面临的信息是一样的。从对信息的反应角度上来讲,各债券市场也应该是高度关联的,但由于我国债券市场的各个部分有不同的投资者以及不同的交易规模,因此这样的平台给我们研究各个债券市场对信息的反应是否都充分,价格是否具有同步性,或者说各个市场对信息反应的快慢是否相同,是否一个市场对另一个市场具有先导性等问题提供了条件。并且这类的研究对投资者很重要,对理论也很重要,但相关研究比较少,因此本文首先对债券市场各部分的波动性进行研究,然后利用我国债券市场各部分的相关性分析来判断各部分对信息反应的情况,为投资者投资提供一些投资建议。并得出以下结论：第一,通过GARCH模型对我国债券市场各部分的波动性进行了分析,实证结果表明,银行间国债市场的风险比交易所国债市场的小,银行间金融债市场的风险小于交易所公司债券市场。由于GARCH模型拟合出来的是一个动态的结果,反映了时变的现象,随着时间的推进,银行间国债市场、交易所国债市场以及银行间金融债市场的波动逐渐变大,交易所公司债券市场的波动明显变小。第二,运用向量自回归模型、Granger因果分析、脉冲响应分析以及方差分解分析等方法,分析了我国债券市场各部分的相关性,并依此来判断各部分对信息反应的情况。分析得出的实证结果表明,银行间市场对信息的反应更快,交易所市场对信息的反应滞后。
[Abstract]:In recent years, China's bond market has become increasingly important, trading volume is increasing, more and more participants. In the financial market, the bond market has gradually become as important as the stock market. Investors are concerned about the risk of bond market, so it is necessary to study bond volatility. Because China's bond market is divided into several parts, in the same macroeconomic environment, the information that each bond market faces in theory is the same. From the point of view of the response to information, the bond market should also be highly relevant. However, because of the different investors and different trading scales in various parts of the bond market in China, So this kind of platform gives us a study of whether each bond market is responding adequately to information, whether the price is synchronized, or whether each market has the same speed of response to information. The question of whether one market is a guide to another is a condition. And this kind of research is very important to investors and theory, but there are few related studies, so this paper first studies the volatility of various parts of the bond market. Then we use the correlation analysis of each part of our country's bond market to judge the reaction of each part to the information, and provide some investment suggestions for investors. The main conclusions are as follows: first, the volatility of various parts of China's bond market is analyzed by GARCH model. The empirical results show that the risk of interbank bond market is smaller than that of exchange bond market. The risk of interbank financial bond market is less than that of exchange company bond market. Because the GARCH model is a dynamic result, it reflects the time-varying phenomenon. With the development of time, the fluctuation of the inter-bank bond market, the exchange bond market and the interbank financial bond market is gradually increasing. The volatility in the exchange company bond market has become significantly smaller. Secondly, by using the vector autoregressive model Granger causality analysis, impulse response analysis and variance decomposition analysis, this paper analyzes the correlation of each part of the bond market in China, and judges the response of each part to the information. The empirical results show that the response of the interbank market to information is faster than that of the exchange market.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

【参考文献】