公募债券违约常态化对债券价格的影响

发布时间：2018-01-01 08:21

本文关键词：公募债券违约常态化对债券价格的影响　出处：《吉林大学》2017年硕士论文　论文类型：学位论文

【摘要】：自“11超日债”成为我国公募债市场第一笔实质违约债券后,债券市场仿佛打开了“潘多拉的魔盒”,违约事件不断涌现且频率不断上升,我国公募债市场违约已经常态化。研究违约常态化对于债券市场价格影响,有助于债券投资者、发行人、监管机构等参与者及时了解刚性兑付彻底打破后的市场反应程度并及时作出调整。本文主要从理论、实证两个部分分析违约常态化对债券价格及收益率的影响。理论部分梳理了影响债券价格的因素、债券价格的决定过程、债券违约对债券价格影响的路径以及债券违约对不同信用等级的债券影响程度。实证部分使用事件研究法,选取违约事件中违约影响较大的五个违约事件,并以2014年1月-2016年12月交易所公司债交易数据为样本,分别使用事件研究法求出累计异常收益率的曲线,并用符号检验法进行检验,得出五个事件异常收益率均显著不为零,从而确定债券违约常态化确实对债券市场价格产生了影响。并通过对累计异常收益率曲线的观察得出结论:异常收益率通常在违约公告发布后一两个交易日内开始显著下降;相对于民营企业违约,市场对于国企违约表现更为剧烈;市场对于延期兑付认可度不高。最后,文章结合实证结论,分别从投资者、发债公司、中介机构、政府和监管机构的角度给出了建议。
[Abstract]:Since "11 super Japanese bonds" became the first substantial bond default in China's public offering bond market, the bond market seems to open the "Pandora's magic box", and the default events continue to emerge and the frequency continues to rise. The default of public offering bond market in our country has been regularized. It is helpful for bond investors and issuers to study the influence of default normalization on bond market price. Regulators and other participants timely understand the degree of market reaction after the rigid payment is completely broken and make timely adjustments. This paper mainly from the theory. The empirical two parts analyze the influence of normalizing default on bond price and yield. The theoretical part combs the factors affecting bond price and the process of determining bond price. The influence of bond default on bond price and the influence of bond default on bond with different credit rating. The empirical part uses the event study method to select the five default events which have a greater impact on default events. Taking the data of exchange company bond trading from January 2014 to December 2016 as the sample, the cumulative abnormal yield curve is obtained by using the event study method, and tested by the sign test method. The results show that the abnormal rate of return of the five events is significantly not zero. Therefore, it is determined that the normalization of bond default does have an impact on the bond market price, and through the observation of the cumulative abnormal yield curve, it is concluded that:. Abnormal yields usually begin to fall significantly within a trading day or two after the default announcement; Compared with the default of private enterprises, the market is more violent to the performance of state-owned enterprise default; Finally, the paper gives some suggestions from the perspective of investors, bond issuing companies, intermediaries, governments and regulators.
【学位授予单位】：吉林大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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