本文選題：企業(yè)債券　切入點(diǎn)：流動性　出處：《哈爾濱工業(yè)大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

【摘要】：2007年溫總理在工作報告中提出“加快發(fā)展債券市場，推進(jìn)債券發(fā)行制度市場化改革”之后，企業(yè)債券開始迅速地發(fā)展起來，而縱觀中國企業(yè)債券的發(fā)展過程，流動性問題一直存在。與此同時，美國發(fā)生的次貸危機(jī)蔓延至世界各國，流動性問題再次引起了各國學(xué)者們的重視。 本文總結(jié)了國內(nèi)外有關(guān)企業(yè)債券流動性與利差相關(guān)問題的研究現(xiàn)狀，深入探討了企業(yè)債券流動性與利差相互關(guān)系及影響機(jī)理。在此基礎(chǔ)上，本文借鑒前人經(jīng)驗選出了可以應(yīng)用與本研究的流動性測度指標(biāo)，并構(gòu)建了基于金融危機(jī)狀態(tài)和正常狀態(tài)下企業(yè)債券流動性與利差的回歸分析模型。然后利用2008年1月1日到2011年12月31日的數(shù)據(jù)為樣本區(qū)間，使用面板數(shù)據(jù)對其進(jìn)行實證分析。研究發(fā)現(xiàn)，我國企業(yè)債券流動性確實有解釋利差的作用，并且通過對比發(fā)現(xiàn)其中流動性測度指標(biāo)p是檢驗中國企業(yè)債券流動性較為適用的測度指標(biāo)，，其他流動性測度指標(biāo)都不如流動性測度指標(biāo)p。最后通過金融危機(jī)期間的假設(shè)，將樣本的時間段分成危機(jī)時期和正常時期，發(fā)現(xiàn)危機(jī)時期流動性對利差的解釋度比正常時期增加24%，證明在金融危機(jī)的背景下，我國企業(yè)債券流動性問題更突出。 流動性問題的研究一直是資本市場理論研究的重要課題之一，得到了世界各國的廣泛重視。其中，西方發(fā)達(dá)國家對市場流動性的研究，不管是從理論上還是在實踐上，都已經(jīng)形成了較完整的理論體系。而我國從1984年就出現(xiàn)的企業(yè)債券，一直發(fā)展緩慢。本文從定量的角度來考察流動性對我國企業(yè)債券利差的影響，在此基礎(chǔ)上又從不同時期的角度分析流動性對我國企業(yè)債券利差的作用，這將有利于我國企業(yè)債券定價模型的完善。另一方面，深入分析中國企業(yè)債券流動性對利差的影響，也可以為投資者、發(fā)行企業(yè)、監(jiān)管者的市場行為提供一定的判斷依據(jù)。
[Abstract]:In 2007, Premier Wen proposed in his work report that "speed up the development of the bond market and push forward the market-oriented reform of the bond issuance system." after that, corporate bonds began to develop rapidly. But throughout the development process of Chinese corporate bonds, At the same time, the subprime mortgage crisis in the United States has spread all over the world, and the liquidity problem has once again attracted the attention of scholars from all over the world. This paper summarizes the current situation of research on corporate bond liquidity and interest margin at home and abroad, and probes into the relationship between corporate bond liquidity and interest margin and its influencing mechanism. Based on the previous experience, this paper selects a liquidity measure index that can be applied to this study. A regression model based on the financial crisis and the normal state of corporate bond liquidity and interest margin is constructed, and then the data from January 1st 2008 to December 31st 2011 are used as sample intervals. The empirical analysis with panel data shows that corporate bond liquidity in China does explain the spread of interest rates. And through the comparison, we find that the liquidity measure index p is the more suitable measure to test the liquidity of Chinese corporate bonds, and the other liquidity measures are not as good as the liquidity measure index p. Finally, through the hypothesis during the financial crisis, The sample time period is divided into crisis period and normal period. It is found that liquidity in crisis period has more explanation for interest rate difference than that in normal period, which proves that under the background of financial crisis, the liquidity problem of corporate bonds in China is more prominent. The study of liquidity has been one of the most important topics in capital market theory, and has been paid more and more attention by many countries all over the world. Among them, the research on market liquidity in western developed countries, whether in theory or in practice, has attracted much attention from all over the world. Both of them have formed a relatively complete theoretical system. However, the development of corporate bonds in China has been slow since 1984. This paper examines the effect of liquidity on the spread of corporate bonds in China from a quantitative point of view. On this basis, we analyze the effect of liquidity on corporate bond interest margin in different periods, which will help to perfect the pricing model of Chinese corporate bonds. On the other hand, we deeply analyze the influence of Chinese corporate bond liquidity on interest rate difference. It can also provide some judgment basis for investors, issuers and regulators.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F832.51;F224;F275

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