做市商制度對我國銀行間債券市場流動性的作用
發(fā)布時間：2018-07-14 14:34
【摘要】：隨著近年來加快發(fā)展債券市場政策的頒布實施,我國債券市場的整體框架已經(jīng)建立,其基本功能也得以初步顯現(xiàn)。但總體而言,我國債券市場仍處于初級發(fā)展階段,與股票市場的發(fā)展相比而言較為滯后。就債券的交易市場而言,柜臺市場、交易所市場和銀行間市場互不關(guān)聯(lián),全國統(tǒng)一互聯(lián)的債券市場尚未建立。同時,不同的交易市場均面臨市場流動性不足、效率低等市場質(zhì)量問題,因此,如何提升我國債券交易市場的質(zhì)量是一個重要而迫切的問題。 從國外債券市場的發(fā)展來看,目前債券交易主要在場外市場進(jìn)行,場外市場的交易機(jī)制以報價驅(qū)動為主,不同的交易機(jī)制對市場質(zhì)量有何影響,近年來已成為國外理論和實務(wù)界人士關(guān)注的重點。 從國內(nèi)研究來看,近年來也有一些學(xué)者開始從市場微觀結(jié)構(gòu)理論的角度來研究我國債券市場的質(zhì)量問題。但總體而言,對市場微觀結(jié)構(gòu)理論的運(yùn)用較常見于股票市場,對債券市場微觀結(jié)構(gòu)的研究有待深入。 我國債券市場功能的實現(xiàn)需要提高債券交易市場的質(zhì)量。流動性作為證券市場的公共屬性,貫穿于市場存在的全過程。流動性作為衡量證券市場質(zhì)量的重要指標(biāo),不僅能體現(xiàn)市場變現(xiàn)能力,更能衡量一個市場成熟與否。由于篇幅所限,在本文中僅就交易機(jī)制對市場流動性的影響進(jìn)行研究。 銀行間債券市場作為我國最大的證券市場,同時也是第一個正式引入做市商制度的金融場外市場,已經(jīng)積累了近15年的實踐經(jīng)驗和相關(guān)數(shù)據(jù)。為交易機(jī)制對市場流動性的研究提供了一個非常有價值的樣本,因此對于銀行間債券市場的做市商制度進(jìn)行研究具有較強(qiáng)的理論意義和現(xiàn)實意義。 本文的內(nèi)容一共有五章,各章節(jié)的主要內(nèi)容為： 第一章導(dǎo)論是本文的理論基礎(chǔ),研究從金融市場微觀結(jié)構(gòu)角度——做市商制度出發(fā),對銀行間債券市場流動性的影響的意義,對國內(nèi)外對金融市場微觀結(jié)構(gòu)理論、做市商制度理論及流動性定義、衡量理論的相關(guān)文獻(xiàn)做了詳細(xì)的回顧與梳理。在本章的結(jié)尾指出了本篇碩士論文的章節(jié)安排、研究方法及工作的創(chuàng)新與不足之處。 第二章回顧了我國債券市場從無到有、從初創(chuàng)到規(guī)范的發(fā)展歷程,介紹了我國債券市場現(xiàn)行的三種交易機(jī)制,比較了做市商制度相對于其他交易機(jī)制(詢價制)的優(yōu)劣勢。從不同角度介紹了在我國銀行間債券市場引入確立做市商制度的背景,介紹了做市商制度自引入后從探索到規(guī)范到完善三個主要階段的發(fā)展,以及當(dāng)前做市商制度在銀行間債券市場的的發(fā)展現(xiàn)狀。 第三章介紹了做市商的做市機(jī)理,從理論上研究了做市商制度在促進(jìn)銀行間債券市場流動性這一問題上是怎么樣發(fā)揮作用的。 第四章先對流動性衡量的具體指標(biāo)進(jìn)行了解釋,再選取換手率指標(biāo)對當(dāng)前銀行間債券市場流動性的總體情況做了分析,最后從買賣價差和換手率兩個指標(biāo)層面出發(fā)對銀行間債券市場的流動性進(jìn)行了實證研究及統(tǒng)計檢驗(非參數(shù)檢驗方法),得出結(jié)論：做市商制度的實行確實對于銀行間債券市場流動性的改善起到了積極的作用。 第五章是本文的結(jié)論及政策建議。在總結(jié)前面各章理論分析和實證研究的基礎(chǔ)上,得出結(jié)論：在全球場外交易市場占主導(dǎo)地位的做市商制度對于改善我國銀行間債券市場流動性有積極的作用。在本章的最后給出旨在完善我國銀行間債券市場做市商制度的四點政策建議：一是增加做市商數(shù)量和種類,擴(kuò)大市場容量；二是建立競爭性的做市商制度；三是充分發(fā)揮貨幣經(jīng)紀(jì)作用,建立做市商內(nèi)部市場；四是推出風(fēng)險保護(hù)機(jī)制,豐富市場避險工具。
[Abstract]:With the development of the development of bond market policy in recent years , the whole framework of our country ' s bond market has been established and its basic function has been preliminarily revealed . However , in general , our country ' s bond market is still in the primary stage of development , and the bond market is not established . At the same time , the different trading markets face the market quality problems such as insufficient market liquidity and low efficiency . Therefore , it is an important and urgent problem how to improve the quality of China ' s bond market .
From the development of foreign bond market , the current bond transaction is mainly carried out in the off - site market , the transaction mechanism of OTC market is dominated by quotation , and the different trading mechanism has influence on the market quality . In recent years , it has become the focus of foreign theoretical and practical circles .
From domestic research , some scholars have begun to study the quality problem of our country ' s bond market from the perspective of market microstructure theory .
The realization of the bond market function of our country needs to improve the quality of the bond market . The liquidity serves as the public property of the security market and runs through the whole process of the market . The liquidity serves as an important index to measure the quality of the stock market . It can not only reflect the market liquidity , but also measure the maturity of a market .
As the largest stock market in our country , the inter - bank bond market is also the first financial market outside the market , which has accumulated nearly 15 years of practical experience and relevant data .
The contents of this paper are five chapters . The main contents of each chapter are as follows :
In the end of this chapter , the author points out the chapter arrangement , the research methods and the innovation and deficiency of this thesis .
The second chapter reviews the development course of our country ' s bond market , and introduces the three kinds of trading mechanism in our country ' s bond market , compares the advantages and disadvantages of the market - making system with respect to other transaction mechanism ( inquiry system ) .
In the third chapter , the author introduces the market mechanism of the market makers , and theoretically studies how the market - maker system plays a role in promoting the liquidity of the inter - bank bond market .
The fourth chapter explains the specific indexes of the liquidity measurement , then analyzes the general situation of the liquidity of the bond market in the current inter - bank bond market by selecting the index of exchange rate . At last , the empirical research and statistical test on the liquidity of the inter - bank bond market are carried out from the aspects of the transaction price difference and the exchange rate . The conclusion is that the implementation of the market - market system does play a positive role in the improvement of the liquidity of the inter - bank bond market .
The fifth chapter is the conclusion and policy suggestion of this paper . On the basis of summarizing the previous chapters ' theoretical analysis and empirical research , it is concluded that the market - maker system dominated by the global OTC market plays a positive role in improving the liquidity of our inter - bank bond market .
Second , the establishment of a competitive market - making system ;
Third , to give full play to the role of money broker and establish the internal market of market makers ;
Fourth , introduce the risk protection mechanism and enrich the market hedging instrument .
【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51
[Abstract]:With the development of the development of bond market policy in recent years , the whole framework of our country ' s bond market has been established and its basic function has been preliminarily revealed . However , in general , our country ' s bond market is still in the primary stage of development , and the bond market is not established . At the same time , the different trading markets face the market quality problems such as insufficient market liquidity and low efficiency . Therefore , it is an important and urgent problem how to improve the quality of China ' s bond market .
From the development of foreign bond market , the current bond transaction is mainly carried out in the off - site market , the transaction mechanism of OTC market is dominated by quotation , and the different trading mechanism has influence on the market quality . In recent years , it has become the focus of foreign theoretical and practical circles .
From domestic research , some scholars have begun to study the quality problem of our country ' s bond market from the perspective of market microstructure theory .
The realization of the bond market function of our country needs to improve the quality of the bond market . The liquidity serves as the public property of the security market and runs through the whole process of the market . The liquidity serves as an important index to measure the quality of the stock market . It can not only reflect the market liquidity , but also measure the maturity of a market .
As the largest stock market in our country , the inter - bank bond market is also the first financial market outside the market , which has accumulated nearly 15 years of practical experience and relevant data .
The contents of this paper are five chapters . The main contents of each chapter are as follows :
In the end of this chapter , the author points out the chapter arrangement , the research methods and the innovation and deficiency of this thesis .
The second chapter reviews the development course of our country ' s bond market , and introduces the three kinds of trading mechanism in our country ' s bond market , compares the advantages and disadvantages of the market - making system with respect to other transaction mechanism ( inquiry system ) .
In the third chapter , the author introduces the market mechanism of the market makers , and theoretically studies how the market - maker system plays a role in promoting the liquidity of the inter - bank bond market .
The fourth chapter explains the specific indexes of the liquidity measurement , then analyzes the general situation of the liquidity of the bond market in the current inter - bank bond market by selecting the index of exchange rate . At last , the empirical research and statistical test on the liquidity of the inter - bank bond market are carried out from the aspects of the transaction price difference and the exchange rate . The conclusion is that the implementation of the market - market system does play a positive role in the improvement of the liquidity of the inter - bank bond market .
The fifth chapter is the conclusion and policy suggestion of this paper . On the basis of summarizing the previous chapters ' theoretical analysis and empirical research , it is concluded that the market - maker system dominated by the global OTC market plays a positive role in improving the liquidity of our inter - bank bond market .
Second , the establishment of a competitive market - making system ;
Third , to give full play to the role of money broker and establish the internal market of market makers ;
Fourth , introduce the risk protection mechanism and enrich the market hedging instrument .
【學(xué)位授予單位】：西南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51
【參考文獻(xiàn)】
相關(guān)期刊論文 前10條
1 紀(jì)路,陳偉忠;市場微觀結(jié)構(gòu)及其對市場流動性的影響分析[J];財經(jīng)問題研究;2000年09期
2 董瑞華;王U，
本文編號：2121951
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