做市商制度下债券市场内生流动性问题研究

发布时间：2018-01-14 15:15

本文关键词：做市商制度下债券市场内生流动性问题研究　出处：《哈尔滨工业大学》2014年硕士论文　论文类型：学位论文

【摘要】：做市商制度是成熟资本市场中被普遍所采用的交易机制，也是我国银行间债券市场的主要交易机制。与成熟资本市场相比，我国做市商存在报价频率低，买卖价差大等问题，这也是导致我国银行间债券市场流动性不足的主要原因。流动性是作为衡量债券市场运行质量的重要指标，其研究一般是与价格发现联系在一起的，深入研究流动性的目的就在于探究价格发现这一市场微观结构的核心。因此，研究债券市场流动性，探究流动性与价格发现之间的内在联系，可以为完善我国银行间债券市场交易机制、提高债券市场流动性和有效性提供政策建议。本文总结回顾了国内外学者关于做市商制度、市场流动性和价格发现机制等方面相关问题的研究现状，分析了学者们在研究资本市场流动性时采用的模型和方法。在充分考虑做市商制度及债券特有的价格形成方式的基础上，改进了原有的内生流动性模型，，并随机选取了20只在我国银行间债券市场进行交易的国债进行了实证分析，结果表明，内生流动性理论成立,即旺盛的投机需求内生决定做市商数量，促使其进入市场从而加快价值回归速率；债券利息分配前后，内生流动性理论的验证结果存在较大差别。进一步分析表明，做市商的报价是否连续是影响内生流动性是否成立的重要决定因素；其连续性也对因信息流入市场而引起的价格修正有较好地促进作用。最后，本文针对实证分析的结果，提出提高我国银行间债券市场流动性的政策建议，如促进银行间债券市场与交易所债券市场互联、发展和完善做市商制度等。
[Abstract]:Market maker system is a widely used trading mechanism in mature capital market, and it is also the main trading mechanism of interbank bond market in China. Compared with the mature capital market, the quoted price frequency of market makers in our country is low. This is the main reason for the shortage of liquidity in the interbank bond market in China. Liquidity is an important index to measure the quality of the bond market. Its research is generally linked with price discovery. The purpose of in-depth study of liquidity is to explore the core of the market microstructure of price discovery. Therefore, the study of bond market liquidity. Exploring the relationship between liquidity and price discovery can provide policy advice for perfecting the trading mechanism of interbank bond market and improving the liquidity and efficiency of bond market. This paper summarizes and reviews the domestic and foreign scholars on the market maker system, market liquidity and price discovery mechanism and other related issues. This paper analyzes the models and methods used by scholars in the study of capital market liquidity, and improves the original endogenous liquidity model on the basis of fully considering the market maker system and the unique price formation mode of bonds. And randomly selected 20 bonds traded in China's inter-bank bond market for empirical analysis, the results show that the endogenous liquidity theory is established, that is, strong speculative demand endogenous decision of the number of market makers. Impel it to enter the market and speed up the rate of value regression; Before and after the bond interest allocation, there are great differences in the verification results of endogenous liquidity theory. Further analysis shows that whether the quotation of market makers is continuous is an important determinant of the establishment of endogenous liquidity; Its continuity can also promote the price correction caused by the information flowing into the market. Finally, this paper puts forward some policy suggestions to improve the liquidity of the interbank bond market in China according to the results of the empirical analysis. Such as promoting interbank bond market and exchange bond market interconnection, developing and perfecting market maker system, etc.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F830.9;F832.51

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