我国公司债券市场流动性效应的实证研究

发布时间：2018-01-01 02:01

本文关键词：我国公司债券市场流动性效应的实证研究　出处：《江西财经大学》2014年硕士论文　论文类型：学位论文

【摘要】：充足的流动性是金融市场正常运行、资源有效配置以及经济增长的前提条件。近年来,尤其是次贷危机后,公司债券市场的流动性已成为欧美国家市场监管机构和市场参与者关注的重点。他们甚至觉得流动性风险是公司债券市场上目前最大的担忧,而不是信用风险与利率风险。在我国,虽然提出了大力发展公司债券市场的战略,但是由于多方面的原因,我国公司债券市场发展比较缓慢。与欧美发达国家相比,我国公司债券市场流动性问题更为突出,流动性对我国公司债券市场效率、资产价格和公司投融资影响显著。公司债券市场的流动性衡量及其影响因素和流动性效应研究有助于揭示流动性效应对公司债券价格的影响机理,对改进债券定价方法和拓展“信用价差之谜”问题的研究领域具有积极的学术意义。同时,对我国公司债券市场的发展具有重要的现实意义。本文基于我国公司债券市场数据,对该市场的流动性衡量及其影响因素和流动性效应进行实证研究。首先,讨论市场流动性的交易价格、交易数量和交易速度三方面内涵,市场流动性衡量存在维度效应。基于我国公司债券市场日交易和报价数据,以买卖价差、交易量、交易间隔时间、价格变化自协方差和价格冲击等指标作为衡量不同维度的市场流动性衡量指标的代表,对公司债券市场流动性衡量存在维度效应假设进行检验。实证研究发现,公司债券市场流动性衡量存在显著的维度效应。交易价格、交易数量和交易速度三个维度的信息重叠不大,买卖价差、交易量、交易间隔时间等单维度衡量指标提供的市场流动性信息有限,价格变化自协方差和价格冲击等多维度衡量指标比单维度衡量指标能够更全面地衡量市场流动性状况。结论能够通过基于时间窗口、最低样本数量和相邻价格时间间隔最大值的稳健性检验。其次,以季度为时间窗口,使用价格冲击、交易间隔时间和交易量作为我国公司债券流动性不同维度的衡量,分析了我国公司债券市场流动性的微观影响因素,并用月度时间窗口做了稳健性检验。结果发现,发行量、票面利率对流动性存在正向影响效应；债券评级、担保等债券信用信息、年龄、剩余期限负向影响公司债券流动性；债券特殊条款和交易量之间存在显著正相关,与交易时间间隔负相关；发行人特征对债券流动性不存在显著影响。此外还发现回归的截距项非常显著,R2不超过0.5,说明除了债券特征因素,宏观市场环境等因素会对公司债券市场流动性产生显著影响。再次,采用不同的样本区间,同时考虑银行间债券市场影响,应用VAR模型对我国证券市场间的流动性动态关系进行实证分析。结果表明,股票市场和交易所债券市场流动性之间存在流动性溢出效应；交易所国债市场和交易所公司信用类债券市场的流动性存在同向联动关系；银行间债券市场流动性反映金融市场宏观流动性；交易所债券市场和银行间债券市场之间流动性转移短期受宏观流动性影响,长期受流动性溢出效应影响；股票市场与交易所公司信用类债券市场的流动性联系非常紧密,分析我国证券市场流动性溢出效应时需考虑公司信用类债券市场的影响。最后,公司债券市场流动性效应对解释公司债券“信用价差之谜”现象有着重要作用。基于西方成熟市场经济国家的研究证实,公司债券市场存在显著的流动性效应。本文应用面板数据时间固定效应模型,对我国公司债券市场流动性效应进行了实证研究。在研究中,使用经久期修正的公司债券信用价差为因变量,以信用评级、财务指标、发行人股票波动率和债券条款为信用风险控制变量,采用日换手率、交易间隔时间、价格冲击、价格变化自协方差和价格离散度等作为市场流动性衡量,并对自变量内生性、传统信用价差衡量以及样本选择进行了稳健性检验。研究结果表明,时间固定效应模型的拟合优度远优于公司固定效应模型的拟合优度,更适合用来研究公司债券市场流动性效应。价格冲击和价格变化自协方差代理的债券非流动性对债券信用价差存在显著正影响,我国公司债券市场上存在流动性效应,该结论能通过内生性问题、不同信用质量债券样本的稳健性检验。但在极端市场行情期间,我国公司债券市场上不存在显著流动性效应。
[Abstract]:Adequate liquidity is the normal operation of the financial market, prerequisite for the efficient allocation of resources and economic growth. In recent years, especially after the subprime crisis, the liquidity of the corporate bond market has become Europe and the United States market regulators and market participants focus. They even think that liquidity risk is the biggest worry corporate bond market. Instead, credit risk and interest rate risk. In our country, although proposed to vigorously develop the corporate bond market strategy, but due to various reasons, China's corporate bond market development is relatively slow. Compared with the developed countries, the liquidity problem of China's corporate bond market is more prominent, the efficiency of liquidity of China the corporate bond market, asset prices and investment financing was significant. The liquidity of the corporate bond market and its influence factors and liquidity effects contribute to the mortgage As liquidity effect on corporate bond price mechanism, is of positive significance to study the field of improved bond pricing method and expanding "the credit spread puzzle problem. At the same time, has important practical significance on the development of China's corporate bond market. The corporate bond market in China based on the data of the market the measurement of liquidity and empirical research on the influencing factors and the liquidity effect.
First, discuss the market liquidity of the transaction price, trading volume and transaction speed three aspects, market liquidity measure dimension effect. China's corporate bond market trading and price data based on the spreads, trading volume, transaction time interval, the price change since the covariance and price shock index as the representative indicators of measure the flow of different dimensions of the measure of the market, the corporate bond market liquidity hypothesis has dimension effect. The empirical study shows that the liquidity of corporate bond market has significant effect to measure dimensions. The transaction price, trading volume and transaction speed of the three dimensions of information little overlap, spreads, trading volume, trading interval time of single dimension measure of market liquidity, limited information, price changes and price shock covariance multidimensional index than single dimension measure Indicators can comprehensively measure the market liquidity. Conclusions can be verified by robustness tests based on time windows, the minimum sample size and the maximum time interval between adjacent prices.
Secondly, in the quarter for the time window, the use of price impact, transaction time interval and trading volume as a measure of the different dimensions of China's corporate bond liquidity, analyzes the micro influencing factors of liquidity of China's corporate bond market, and a robust test using the monthly time window. The results showed that the circulation, the coupon rate of the positive effect of liquidity; bond rating bond credit guarantee, information age, the remaining term negative impact on corporate bond liquidity; there is a significant positive correlation between the bond terms and special trading volume and transaction time interval are negatively correlated; the issuer characteristics has no significant impact on bond liquidity. In addition, the return of the intercept is very significant, R2 is less than 0.5, except that the bond characteristic factors, macro market environment and other factors will have a significant impact on the corporate bond market liquidity.
Again, the use of different sample interval, considering the inter-bank bond market, the application of VAR model for empirical analysis of liquidity dynamic relationship between China's securities market. The results show that the existence of liquidity between the stock market and stock exchange bond market liquidity spillover effect; liquidity exchange bond market and Exchange Company credit bonds the market with the linkage relationship; the liquidity of interbank bond market reflects the macro financial market liquidity; liquidity transfer by short-term macro liquidity effect between the bond market and the inter-bank bond market, the long-term impact of liquidity spillovers; tight liquidity of stock market and Exchange Company credit bond market, consider effect of corporate credit bond market to analyze the liquidity spillover effect of China's securities market.
Finally, the liquidity effect of corporate bond market plays an important role in explaining the corporate bond credit spread puzzle "phenomenon. The research of western mature market economy countries confirmed based on corporate bond market liquidity has significant effect. The application of time fixed effect panel data model of China's corporate bond market liquidity effect in the empirical study. In the study, the use of corporate bond credit spreads and fixed period as the dependent variable, the credit rating, financial indicators, the terms of the issuer volatility of stock and bond credit risk control variables, the exchange rate, the transaction time interval, the price impact of price change since the covariance and price dispersion as measure of market liquidity, and the endogenous variables, the traditional measure of credit spreads and sample selection of the robustness test. The results show that the time fixed effect Fitting the goodness of fit is far better than the company fixed effects of the model goodness, more suitable to the study of the corporate bond market liquidity effect. Price shocks and price changes have a significant positive impact on the liquidity of the bond credit spreads of non self covariance agency bonds, liquidity effect existing in China's corporate bonds market, this conclusion can the problem of endogeneity, robustness test of different credit quality bonds. But during the sample in the extreme market market, significant liquidity effect does not exist on the corporate bond market in China.

【学位授予单位】：江西财经大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F224;F832.51

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