企业债市场的非流动性及其对价格的影响

发布时间：2018-03-28 16:10

本文选题：企业债　切入点：流动性　出处：《浙江财经学院》2013年硕士论文

【摘要】：金融市场的生命力和流动性密不可分,资本市场的非流动性问题突出,往往会引发金融危机,因此资本市场非流动性的研究越来越受到人们重视,尤其是将非流动性与资产定价、风险管理相结合。尽管对非流动性研究更多的是关于股票市场,但债券市场非流动性风险问题的研究也是近些年来研究的热点。近些年来,社会融资平台多样化,债券市场的产品不断创新以及发行数量的快速增长,债券融资已经成为企业融资的渠道之一。企业债作为我国重要的信用类债券之一,在债券市场中的地位越来越重要,很多企业的直接融资都是通过发行债券获得,甚至有企业债券融资的规模都已经超过股票市场。债券市场对社会融资规模的影响力已经越来越明显,而且将会进一步扩大。因此,对我国企业债市场的非流动性的整体研究不仅有利于揭示信用类债券的定价机制,而且为检验我国信用类债券市场的总体效率提供参考。不同的学者,对非流动性衡量的指标会有不同的选择。本文基于一个非流动性指标γ,来衡量我国企业债市场的非流动性问题,并研究非流动性对债券市场价格的影响。在理论分析方面,通过相关文献综述,描述了债券市场的流动性,债券市场的流动性溢价以及非流动性的国内研究现状,并总结出发展趋势。然后通过类比分析,分别从四个角度度量流动性和非流动性。通过流动性的四维理论,即市场宽度、即时性、市场深度以及弹性等方面,提出了基于市场宽度的度量方法价格法,基于市场深度的度量方法交易量法,以及基于市场宽度和市场深度的度量方法。通过非流动性四维理论,即交易数量,交易速度,交易成本以及价格影响等,分别提出了测度非流动性的方法。在实证分析方面,本文通过价格变化自协方差的角度,以非流动性指标γ衡量了企业债市场的非流动性。首先,实证检验了γ与债券特征发行量、发行年限和到期期限的关系,这些特征都和债券的流动性相关。实证发现,2009年至2011年,发行年限对γ的影响系数从0.0387上升到0.0719,样本期内的系数是0.0571。到期期限的影响系数从0.0264上升到0.0688,样本期内的系数是0.0450。发行量和γ负相关,即随着发行量的增加,非流动性风险降低,γ越低。其次,实证检验了7年期企业债的超额收益率和非流动性风险、信用风险以及利率风险的定价关系。超额收益率主要受信用风险和利率风险影响,信用风险系数高达1.5左右。尽管非流动性风险影响系数只有0.0075,但说明非流动性风险对债券的定价也是不可忽视的一个因素。这为债券合理定价提供了重要参考意见。最后,我们通过VAR模型衡量了非流动性风险、信用风险以及利率风险冲击对超额收益率的影响。脉冲响应函数显示,非流动性风险、信用风险以及利率风险冲击对超额收益率都是正冲击,信用风险和利率风险冲击都是在第二期达到最大值,分别在第8期和第7期逐渐消失,而非流动性风险冲击逐渐减小,并且在第4期就逐渐消失。最后的方差分解分析显示,超额收益率的一个方差变动,贡献率最大的是本身,在第四期以后达到90%以上。信用风险贡献率8%左右,而非流动性贡献率最小,只有5%左右。总之,本文通过非流动性指标的视角,较系统的分析了我国企业债市场的非流动性问题,并研究了企业债市场的非流动性对债券定价的影响。这为我国企业债的合理定价提供了依据,为信用类债券定价提供了参考,也为今后的债券市场效率问题研究提供了理论和实证基础。
[Abstract]:The vitality and financial market liquidity are inseparable, non liquidity problems in the capital market is prominent, often triggered by the financial crisis, so the capital market of non liquidity has attracted more and more attention, especially the liquidity and asset pricing, risk management combination. Although studies on liquidity is more about stock the market, but the bond market illiquidity risk problem is also a research hotspot in recent years. In recent years, the rapid growth of social financing platform diversification, the bond market product innovation and the number of shares issued, bond financing has become one of the financing channels for enterprises. Corporate bonds as one of the most important credit bonds in China, and status in the bond market is more important in the direct financing of many enterprises are obtained through the issuance of bonds, and even corporate bond financing scale are super Over the stock market. The influence of the bond market on the scale of social financing has become more and more obvious and will be further expanded.
Therefore, the overall research on non liquidity of the corporate bond market in China is not only conducive to reveal the pricing mechanism of credit bonds, but also provide a reference for the inspection of the overall efficiency of Chinese credit bond market. Different scholars have different choices of illiquidity measure. In this paper, a non flow the gamma index based on non liquidity problems to measure the corporate bond market in China, and study the impact of liquidity on bond market prices.
In the theoretical analysis, through literature review, describes the liquidity of the bond market, the liquidity premium of the bond market and illiquid domestic research status, and summed up the development trend. Then through the analogy analysis, respectively to measure liquidity and non liquidity from four aspects. Through four theory of liquidity, the market breadth, timeliness, market depth and elasticity etc., put forward the market width measurement method based on the method of price, market depth measurement method based on the trading volume, and measuring the market breadth and depth based on the market. Through non liquidity is four-dimensional theory, the number of transactions, transaction speed, transaction cost and price the influence, were put forward to measure illiquidity.
In the case of empirical analysis, this paper measures the non liquidity of the corporate debt market by the non liquidity index by the angle of price change self covariance.
First of all, the empirical test of the bond issuance and gamma characteristics, the relationship between issue age and maturity, these characteristics are related to the liquidity of the bond. The empirical findings, from 2009 to 2011, issue age effect on gamma coefficient increased from 0.0387 to 0.0719, the coefficient of the sample period is from the maturity of the influence coefficient 0.0571. 0.0264 up to 0.0688, the coefficient of the sample period is 0.0450. circulation and gamma negative correlation with the increase in circulation, reduce the risk of illiquidity, gamma is low. Secondly, the empirical test of the 7 year corporate bond excess return and liquidity risk, credit risk and interest risk pricing. The excess rate of return is mainly affected by the credit risk and interest rate risk, credit risk coefficient is up to about 1.5. Despite the non liquidity risk coefficient is only 0.0075, but the pricing of liquidity risk on the bonds can not be ignored One of the factors. It provides an important reference for bond pricing. Finally, we measure the liquidity risk by VAR model, the impact of credit risk and interest rate risk on the impact of the excess yield. The impulse response function shows, non liquidity risk, credit risk and interest risk impact on the excess rate of return is positive the impact of interest rate risk and credit risk shocks are in second reached the maximum value, respectively, and gradually disappeared in the eighth period and seventh period, rather than the liquidity risk impact decreases gradually, and in the fourth period will gradually disappear. Finally the variance decomposition analysis showed that an excess variance changes in the rate of return, the largest contribution is in itself, after the fourth period of more than 90%. The credit risk contribution rate of about 8%, and the minimum illiquidity contribution, only about 5%.
In short, this article through the ILLIQ perspective, this paper systematically analyses the non liquidity problems of corporate bond market in China, and to study the effect of non liquidity of the corporate bond market to the bond price. This provides a basis for pricing of China's corporate bonds, which provides a reference for the credit bonds pricing, but also provides a theoretical and empirical basis for the research on the efficiency of the bond market in the future.

【学位授予单位】：浙江财经学院
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F275;F832.51;F224

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