本文選題：流動(dòng)性　切入點(diǎn)：債券ETF　出處：《浙江大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：自從2013年3月,我國的第一支債券ETF產(chǎn)品推出以來,國內(nèi)ETF發(fā)展邁入了 2.0時(shí)代。然而,目前國內(nèi)針對(duì)債券ETF的研究甚少,特別是債券ETF的引入對(duì)標(biāo)的成分債券流動(dòng)性的影響,以及以流動(dòng)性指標(biāo)為信號(hào)的債券ETF、標(biāo)的債券的量化擇時(shí)策略設(shè)計(jì)這兩個(gè)問題是有待深入研究的。本文以博時(shí)上證企債30ETF為例,采用日交易數(shù)據(jù),樣本期間為從博時(shí)上證企債30ETF上市日(2013年8月16日)的前146個(gè)交易日到2017年1月9日,試圖對(duì)以上兩個(gè)問題進(jìn)行回答。本文首先綜合考量了 Bao,Pan和Wang(2010)、Amihud(2002)等提出的流動(dòng)性度量指標(biāo),選取出適用于中國交易所債券市場(chǎng)的流動(dòng)性指標(biāo),并利用主成分分析的方法構(gòu)造了流動(dòng)性綜合指標(biāo)。其次,通過雙樣本配對(duì)均值檢驗(yàn),本文發(fā)現(xiàn)債券ETF上市后,主成分綜合指標(biāo)在1%的水平上顯著增加。進(jìn)一步地,本文采用面板數(shù)據(jù)隨機(jī)效應(yīng)模型深入分析了標(biāo)的債券流動(dòng)性變化的影響因素。結(jié)果表明:時(shí)間虛擬變量與債券流動(dòng)性的主成分綜合指標(biāo)在1%的水平上顯著正相關(guān),即說明債券ETF引入之后,主成分綜合指標(biāo)顯著增大;銀行間市場(chǎng)7天回購加權(quán)平均利率與主成分綜合指標(biāo)顯著負(fù)相關(guān),說明當(dāng)市場(chǎng)資金環(huán)境趨緊時(shí),債券交易量降低,流動(dòng)性下降。隨后,本文進(jìn)行了穩(wěn)健性檢驗(yàn),進(jìn)一步證實(shí)了以上結(jié)果。綜合以上結(jié)論,本文認(rèn)為債券ETF的引入可以在價(jià)差、交易頻率和換手率方面顯著改善標(biāo)的指數(shù)成分債券的流動(dòng)性。最后,本文以構(gòu)造的主成分綜合指標(biāo)為技術(shù)信號(hào),采用雙均線策略和布林帶策略對(duì)債券ETF以及標(biāo)的債券進(jìn)行擇時(shí)判斷。通過樣本內(nèi)設(shè)計(jì)參數(shù)和樣本外檢驗(yàn),本文發(fā)現(xiàn):雙均線策略可以實(shí)現(xiàn)比較好的效果;該策略在債券ETF上的運(yùn)用效果優(yōu)于在企業(yè)債券上的效果。本文進(jìn)行擇時(shí)研究主要是幫助投資者判斷債券ETF及標(biāo)的債券的漲跌,對(duì)投資起到指導(dǎo)意義。
[Abstract]:Since March 2013, the first bond ETF product in China has been launched, the domestic ETF development has entered a 2.0 era. However, there is little research on bond ETF in China, especially the influence of the introduction of bond ETF on the liquidity of underlying component bonds. The design of quantitative timing strategy for underlying bonds is to be further studied. This paper takes 30 ETFs on Shanghai Stock Exchange as an example and uses daily trading data. The sample period is from 146 trading days on the date of listing 30 ETFs (August 16th 2013) to January 9th 2017, and attempts to answer the above two questions. The liquidity index suitable for the bond market of China Stock Exchange is selected, and the comprehensive liquidity index is constructed by principal component analysis. Secondly, through the test of paired mean value of double samples, this paper finds out that the bond ETF is listed after it is listed. The principal component index increased significantly at the level of 1%. In this paper, the panel data stochastic effect model is used to analyze the influencing factors of the underlying bond liquidity. The results show that the time virtual variable is significantly positively correlated with the principal component index of bond liquidity at the level of 1%. That is to say, after the introduction of bond ETF, the principal component composite index increases significantly, and the weighted average interest rate of 7 days repurchase in the interbank market is negatively correlated with the principal component composite index, which indicates that the bond trading volume decreases when the market capital environment becomes tighter. Then, the stability test is carried out to further confirm the above results. Combined with the above conclusions, this paper thinks that the introduction of bond ETF can be used in the spread of the price. In terms of trading frequency and turnover rate, the liquidity of underlying index component bonds is significantly improved. Finally, the principal component synthesis index constructed in this paper is taken as the technical signal. The dual mean line strategy and the Bloom belt strategy are used to determine the timing of the bond ETF and the underlying bond. Through the design parameters in the sample and the test outside the sample, it is found that the dual mean line strategy can achieve better results; The application effect of this strategy on bond ETF is better than that on corporate bond. The timing study is mainly to help investors judge the rise and fall of bond ETF and underlying bond and play a guiding role in investment.
【學(xué)位授予單位】：浙江大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前8條

1 閔曉平;桂荷發(fā);嚴(yán)武;;基于主成分分析的公司債券市場(chǎng)流動(dòng)性衡量研究[J];證券市場(chǎng)導(dǎo)報(bào);2011年07期

2 張蕊;王春峰;房振明;梁崴;;中國銀行間債券市場(chǎng)企業(yè)債交易成本研究[J];管理學(xué)報(bào);2010年02期

3 時(shí)文朝;張強(qiáng);;基于結(jié)構(gòu)突變理論的中國銀行間債券市場(chǎng)流動(dòng)性的長(zhǎng)期趨勢(shì)分析[J];世界經(jīng)濟(jì);2009年01期

4 董樂;;銀行間債券市場(chǎng)流動(dòng)性溢價(jià)問題研究[J];運(yùn)籌與管理;2007年04期

5 王輝;;上證50ETF流動(dòng)性效應(yīng)分析[J];中國物價(jià);2006年08期

6 鄭淳;董紀(jì)昌;徐艷梅;;銀行間市場(chǎng)國債現(xiàn)券流動(dòng)性研究[J];管理評(píng)論;2006年02期

7 黃妍,吳凱;銀行間債券市場(chǎng)流動(dòng)性問題的原因分析及其對(duì)策[J];經(jīng)濟(jì)前沿;2003年07期

8 李新;中國國債市場(chǎng)流動(dòng)性分析[J];金融研究;2001年03期

相關(guān)碩士學(xué)位論文 前1條

1 張飛;ETF的推出對(duì)其標(biāo)的指數(shù)成分股流動(dòng)性的影響[D];暨南大學(xué);2010年

，

本文編號(hào)：1582588