本文選題：公司債券 + 流動(dòng)性衡量��； 參考：《華中科技大學(xué)》2014年碩士論文

【摘要】：隨著我國(guó)經(jīng)濟(jì)的發(fā)展，融資者的需求越來(lái)越大，但是我國(guó)的融資體系發(fā)展存在著直接融資的比例遠(yuǎn)低于間接融資的現(xiàn)象，這是非常不平衡的。同時(shí)，在我國(guó)直接融資中，公司債券市場(chǎng)的規(guī)模遠(yuǎn)不及其在發(fā)達(dá)國(guó)家成熟債券市場(chǎng)的占比。公司債券市場(chǎng)總體來(lái)說(shuō)流動(dòng)性差，發(fā)展較晚，是我國(guó)金融體系的薄弱環(huán)節(jié)。 本文選取上海證券交易所的21家公司債券從2009年1月1日到2013年12月31日的樣本數(shù)據(jù)進(jìn)行公司債券流動(dòng)性影響因素的實(shí)證研究。首先gamma指標(biāo)和Amihud指標(biāo)作為衡量流動(dòng)性的指標(biāo)，，然后用實(shí)際發(fā)行量、已發(fā)行期限、剩余期限、信用評(píng)級(jí)、價(jià)格波動(dòng)、票面利率、交易規(guī)模這7個(gè)債券特征變量作為解釋變量。采用構(gòu)建面板數(shù)據(jù)模型、豪斯曼檢驗(yàn)、異方差檢驗(yàn)及修正進(jìn)行具體的實(shí)證研究。 經(jīng)過(guò)本文對(duì)影響公司債券流動(dòng)性影響因素的實(shí)證研究，發(fā)現(xiàn)價(jià)格波動(dòng)和剩余期限與公司債券流動(dòng)性存在負(fù)相關(guān)性，即價(jià)格波動(dòng)、剩余期限越高，公司債券流動(dòng)性就越小，反過(guò)來(lái)也是如此；而實(shí)際發(fā)行量、已發(fā)行期限、票面利率、交易規(guī)模與公司債券流動(dòng)性存在正相關(guān)性，即實(shí)際發(fā)行量、已發(fā)行期限、票面利率、交易規(guī)模越高，公司債券流動(dòng)性就越大，反過(guò)來(lái)也是如此。不同的變量的解釋力度也是不同的。 而信用評(píng)級(jí)對(duì)于公司債券流動(dòng)性在此實(shí)證研究中沒(méi)有明顯相關(guān)性影響。說(shuō)明我國(guó)公司債券市場(chǎng)的評(píng)級(jí)系統(tǒng)還是有所不足，有待完善。
[Abstract]:With the development of China's economy, the demand of financiers is increasing, but the proportion of direct financing is far lower than that of indirect financing in the development of financing system in China, which is very unbalanced. At the same time, in the direct financing of our country, the scale of the corporate bond market is far less than its proportion in the mature bond market in developed countries. Corporate bond market is a weak link in our financial system because of its poor liquidity and late development. From January 1, 2009 to December 31, 2013, a sample of 21 corporate bonds from Shanghai Stock Exchange is selected to study the influencing factors of corporate bond liquidity. First, gamma index and Amihud index are used as indicators to measure liquidity, and then seven characteristic variables of bond are used as explanatory variables: actual issuance amount, issued term, remaining term, credit rating, price fluctuation, coupon interest rate and trading scale. Using panel data model, Hausmann test, heteroscedasticity test and correction to carry out specific empirical research. Through the empirical research on the influencing factors of corporate bond liquidity, it is found that the price fluctuation and the residual period have negative correlation with the corporate bond liquidity, that is, the higher the remaining maturity, the smaller the corporate bond liquidity. The reverse is true; and the actual amount of issuance, the maturity of the issue, the coupon rate, the size of the transaction is positively correlated with the liquidity of the corporate bond, that is, the actual amount of issuance, the maturity of the issue, the coupon rate, the scale of the transaction, The more liquid corporate bonds are, the more the reverse is true. The interpretation of different variables is also different. There is no significant correlation between credit rating and corporate bond liquidity in this empirical study. It shows that the rating system of our country's corporate bond market is still insufficient and needs to be improved.
【學(xué)位授予單位】：華中科技大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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本文編號(hào)：1944575