中国公司债券流动性对信用利差影响机制研究
发布时间：2018-08-01 15:33
【摘要】：公司债券作为金融市场的重要工具，对实体经济有着不可或缺的促进作用，同时能够有效地帮助企业改善资本结构。我国资本市场发展时间相对较短，缺乏有效的定价与风险管理机制，公司债券市场更是缺乏一个规范、完善的风险管理体系和市场化标准。信用利差作为公司债券市场的晴雨表，其作用在于把控公司债券的风险水平，同时为投资者提供资产配置选择的思路，研究信用利差的影响因素已成为理论界和实务界的一个热议话题。 由于市场容量小、市场参与者受到限制，我国公司债券市场流动性不足的问题尤为突出。充足的流动性是经典金融理论的重要条件，同时也是金融市场进行有效配置的前提，目前已有研究表明流动性对于公司债券的信用利差具有一定的影响作用。 本文联系了我国公司债券市场的实际情况，对流动性、信用利差以及它们之间的关系进行了积极的探讨，文章通过理论分析和实证模型，以公司债券流动性作为主要的解释变量，对信用利差的影响因素进行了分析检验 本文利用目前分析信用利差影响因素最为广泛的回归分析法，，选取了衡量流动性四维度属性的三个度量指标，分别构建了三个流动性因素多元回归模型，去分析公司债券流动性对信用利差的影响，并以宏观因素模型作为基准项，研究发现公司债券流动性主要通过交易量对信用利差产生作用，并从理论和现实的角度阐明了宏观因素和流动性对信用利差的影响机制。
[Abstract]:As an important tool of financial market, corporate bonds play an indispensable role in promoting the real economy, and can effectively help enterprises to improve their capital structure. The development time of capital market in our country is relatively short, the effective pricing and risk management mechanism is lacking, and the corporate bond market is lack of a standard, perfect risk management system and market-oriented standard. As a barometer of the corporate bond market, credit spreads play a role in controlling the risk level of corporate bonds and providing investors with ideas for asset allocation. It has become a hot topic in theory and practice to study the influencing factors of credit spreads. Because the market capacity is small and the market participants are restricted, the lack of liquidity in China's corporate bond market is particularly prominent. Adequate liquidity is not only an important condition of classical financial theory, but also the premise of effective allocation of financial market. At present, it has been shown that liquidity has a certain impact on the credit spreads of corporate bonds. Based on the actual situation of our country's corporate bond market, this paper makes a positive discussion on liquidity, credit spreads and the relationship between them, through theoretical analysis and empirical model. Taking corporate bond liquidity as the main explanatory variable, this paper analyzes and tests the influencing factors of credit spreads by using the regression analysis method, which is the most widely used to analyze the influencing factors of credit spreads. This paper selects three measures to measure the four dimensional attributes of liquidity and constructs three multivariate regression models of liquidity factors to analyze the impact of corporate bond liquidity on credit spreads and take the macro factor model as the benchmark. It is found that the liquidity of corporate bonds exerts an effect on the credit spreads mainly through the volume of trading volume, and expounds the macro factors and the mechanism of the influence of liquidity on the credit spreads from the theoretical and practical perspectives.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51
本文编号：2158025
[Abstract]:As an important tool of financial market, corporate bonds play an indispensable role in promoting the real economy, and can effectively help enterprises to improve their capital structure. The development time of capital market in our country is relatively short, the effective pricing and risk management mechanism is lacking, and the corporate bond market is lack of a standard, perfect risk management system and market-oriented standard. As a barometer of the corporate bond market, credit spreads play a role in controlling the risk level of corporate bonds and providing investors with ideas for asset allocation. It has become a hot topic in theory and practice to study the influencing factors of credit spreads. Because the market capacity is small and the market participants are restricted, the lack of liquidity in China's corporate bond market is particularly prominent. Adequate liquidity is not only an important condition of classical financial theory, but also the premise of effective allocation of financial market. At present, it has been shown that liquidity has a certain impact on the credit spreads of corporate bonds. Based on the actual situation of our country's corporate bond market, this paper makes a positive discussion on liquidity, credit spreads and the relationship between them, through theoretical analysis and empirical model. Taking corporate bond liquidity as the main explanatory variable, this paper analyzes and tests the influencing factors of credit spreads by using the regression analysis method, which is the most widely used to analyze the influencing factors of credit spreads. This paper selects three measures to measure the four dimensional attributes of liquidity and constructs three multivariate regression models of liquidity factors to analyze the impact of corporate bond liquidity on credit spreads and take the macro factor model as the benchmark. It is found that the liquidity of corporate bonds exerts an effect on the credit spreads mainly through the volume of trading volume, and expounds the macro factors and the mechanism of the influence of liquidity on the credit spreads from the theoretical and practical perspectives.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51
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