本文選題：流動性　切入點：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時代。然而,目前國內(nèi)針對債券ETF的研究甚少,特別是債券ETF的引入對標的成分債券流動性的影響,以及以流動性指標為信號的債券ETF、標的債券的量化擇時策略設(shè)計這兩個問題是有待深入研究的。本文以博時上證企債30ETF為例,采用日交易數(shù)據(jù),樣本期間為從博時上證企債30ETF上市日(2013年8月16日)的前146個交易日到2017年1月9日,試圖對以上兩個問題進行回答。本文首先綜合考量了 Bao,Pan和Wang(2010)、Amihud(2002)等提出的流動性度量指標,選取出適用于中國交易所債券市場的流動性指標,并利用主成分分析的方法構(gòu)造了流動性綜合指標。其次,通過雙樣本配對均值檢驗,本文發(fā)現(xiàn)債券ETF上市后,主成分綜合指標在1%的水平上顯著增加。進一步地,本文采用面板數(shù)據(jù)隨機效應(yīng)模型深入分析了標的債券流動性變化的影響因素。結(jié)果表明:時間虛擬變量與債券流動性的主成分綜合指標在1%的水平上顯著正相關(guān),即說明債券ETF引入之后,主成分綜合指標顯著增大;銀行間市場7天回購加權(quán)平均利率與主成分綜合指標顯著負相關(guān),說明當市場資金環(huán)境趨緊時,債券交易量降低,流動性下降。隨后,本文進行了穩(wěn)健性檢驗,進一步證實了以上結(jié)果。綜合以上結(jié)論,本文認為債券ETF的引入可以在價差、交易頻率和換手率方面顯著改善標的指數(shù)成分債券的流動性。最后,本文以構(gòu)造的主成分綜合指標為技術(shù)信號,采用雙均線策略和布林帶策略對債券ETF以及標的債券進行擇時判斷。通過樣本內(nèi)設(shè)計參數(shù)和樣本外檢驗,本文發(fā)現(xiàn):雙均線策略可以實現(xiàn)比較好的效果;該策略在債券ETF上的運用效果優(yōu)于在企業(yè)債券上的效果。本文進行擇時研究主要是幫助投資者判斷債券ETF及標的債券的漲跌,對投資起到指導(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)位級別】：碩士
【學(xué)位授予年份】：2017
【分類號】：F832.51

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本文編號：1582588