我国银行间债券市场与交易所债券市场的比较研究

发布时间：2018-03-19 14:30

本文选题：银行间债券市场　切入点：交易所债券市场　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：债券流通市场通常包括场外交易市场和场内交易市场。我国债券市场在经过三十余年的发展后,形成了由银行间市场、交易所市场和商业银行柜台市场三个子市场组成的统一分层的市场体系。其中由机构投资者参与的银行间市场是我国债券市场的主要交易场所,近年的债券托管量和交易量都占整个市场的90%左右。由于历史原因,我国的银行间债券市场与交易所债券市场至今仍在相当程度上是相互割裂的。两个市场定位于不同的投资者群体,实行不同的交易机制,可投资的债券品种、交易工具有所不同,两个市场的债券托管在不同的托管结算机构,市场监管机制也是分散的多头监管。这种市场的分割和运行机制各方面的差异使得银行间市场和交易所市场的市场质量存在差异。本文围绕两个债券市场的流动性、波动性和价格关系,运用不同的测度指标和VAR模型等方法,通过我国大量债券市场数据的实证分析,对交易所债券市场与银行间债券市场在市场质量上的差异进行了较为全面的比较,得出了如下结论：银行间市场的流动性优于交易所市场；交易所国债市场的波动性高于银行间市场,而银行间企业债市场的波动性略高于交易所市场；交易所市场的收益率通常高于银行间市场,两个市场的收益率相互影响,而交易所市场对银行间市场的引导作用更强。在此基础上,对我国建立更加高效、统一的债券市场从做市商制度、托管结算体系、跨市场债券、投资者资格、监管体系几个方面提出了政策建议。本文的研究不仅对债券市场的微观结构研究具有一定的理论意义,而且对于提高债券交易市场效率、完善债券市场的功能具有重要的现实意义。
[Abstract]:The bond circulation market usually includes the over-the-counter market and the over-the-counter market. After more than 30 years of development, the bond market in China has been formed by the interbank market. A unified hierarchical market system composed of three sub-markets of the exchange market and the commercial bank over-the-counter market, in which the interbank market, in which institutional investors participate, is the main trading place of the bond market in China. Bond deposits and trading volumes in recent years account for about 90% of the entire market. Due to historical reasons, the interbank bond market and the exchange bond market in China are still separated to a certain extent. Trading instruments are different. Bonds in both markets are held in different custodian clearing institutions. The market supervision mechanism is also a decentralized long supervision, which makes the market quality difference between the interbank market and the exchange market due to the division of the market and the difference of the operation mechanism. This paper focuses on the relationship between liquidity, volatility and price of the two bond markets, using different measurement indicators and VAR models, through empirical analysis of a large number of bond market data in China. The paper makes a comprehensive comparison of the market quality between the exchange bond market and the interbank bond market, and draws the following conclusions: the liquidity of the interbank market is better than that of the exchange market; The volatility of the exchange bond market is higher than that of the interbank market, while the volatility of the interbank corporate bond market is slightly higher than that of the exchange market; the yield of the exchange market is usually higher than that of the interbank market, and the yields of the two markets interact. And the exchange market has a stronger guiding effect on the interbank market. On this basis, we should establish a more efficient and unified bond market in China from the market-makers' system, the escrow settlement system, the cross-market bonds, and the qualification of investors. Several aspects of the regulatory system put forward policy recommendations. The research in this paper is not only of theoretical significance to the study of the microstructure of the bond market, but also of practical significance to improving the efficiency of the bond trading market and perfecting the function of the bond market.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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