中国交易所公司债信用利差影响因素研究

发布时间：2018-03-20 19:49

本文选题：信用利差　切入点：公司债　出处：《复旦大学》2013年硕士论文　论文类型：学位论文

【摘要】：2012年债券市场迅速扩容,公司类信用债券的发展尤其令人瞩目。然而,随着发行人评级中枢的下移,违约风险隐现。信用利差作为信用债券收益率与无风险债券收益率的差,是度量信用债券相对风险的最佳指标。本文在指数和个券两个层面来研究信用利差的影响因素,指数层面包括中国债券市场上AAA、AA+、AA和AA-四个信用级别,1年、3年、5年和7年四个期限,共16组数据,个券层面包括从中国债券市场2007年公司债发行开始至2012年之前全部未到期共162只交易所公司债。通过时间序列分析和面板数据分析,研究表明,第一,利率因素是影响信用利差的重要因素,债券市场与股票市场之间存在避险效应,当股价波动率上升时,公司债信用利差下降；第二,投资者关注公司价值和公司资产结构,公司价值波动越大、负债比率越高,信用价差越大。然而投资者将流动比率理解为公司的经营能力和产业链中的话语权的指标,因此出现流动比率越低,信用利差越低的现象；第三,在中国债券市场无违约的特殊状况下,投资者存在追捧低评级高收益债券的现象,换手率高与债券质量并不挂钩。本文建议政府不再为公司违约兜底,改变中国债券市场“零违约”的扭曲状态；逐步消除银行间市场和交易所市场的分割状态,在充分监管的状态下准许更多银行机构进入交易所债券市场,从而提高交易所债券市场的活跃程度。
[Abstract]:In 2012, with the rapid expansion of the bond market, the development of corporate credit bonds was particularly remarkable. However, as the issuer's rating center moved down, default risk loomed. The credit spread was used as the difference between the credit bond yield and the risk-free bond yield. Is a measure of the relative risk of credit bonds the best indicator. This paper studies the influencing factors of credit spreads at the two levels of index and security. The index level includes four credit grades, one year, three years, five years and seven years, in China's bond market. There are 16 groups of data, and the index level includes four credit grades, one year, three years, five years and seven years. Through time series analysis and panel data analysis, the study shows that, first, The interest rate factor is an important factor affecting credit spreads. There is a risk-averse effect between the bond market and the stock market. When the stock price volatility increases, the corporate bond credit spreads decrease. Second, investors pay attention to the company value and the structure of corporate assets. The greater the fluctuation of company value, the higher the debt ratio and the greater the credit spread. However, the investors understand the liquidity ratio as the index of the company's management ability and the right to speak in the industrial chain, so the lower the current ratio, the lower the credit spread; Third, in the special situation of no default in China's bond market, investors have the phenomenon of pursuing low-rated high-yield bonds, and the high turnover rate is not related to the quality of bonds. This paper suggests that the government should stop covering corporate defaults and change the distorted state of "zero default" in China's bond market, and gradually eliminate the segmentation of the interbank market and the exchange market. To increase the activity of the exchange bond market by allowing more banks to enter the exchange bond market with adequate supervision.
【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】：F224;F832.51

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