本文選題：企業(yè)債　切入點(diǎn)：流動(dòng)性　出處：《蘇州大學(xué)》2014年碩士論文

【摘要】：流動(dòng)性是企業(yè)債市場(chǎng)發(fā)展的命脈，流動(dòng)性的好壞直接影響企業(yè)的融資效率和企業(yè)債市場(chǎng)金融功能的發(fā)揮。近年來(lái)我國(guó)企業(yè)債市場(chǎng)發(fā)展迅速，跨市場(chǎng)發(fā)行交易的企業(yè)債比重越來(lái)越大。但是銀行間債券市場(chǎng)與交易所債券市場(chǎng)相互分割，企業(yè)債市場(chǎng)流動(dòng)性缺乏且失衡的問(wèn)題阻礙了企業(yè)債市場(chǎng)的健康快速發(fā)展，降低了市場(chǎng)運(yùn)行效率。因此，，為了使企業(yè)債市場(chǎng)籌融資功能和資源配置的功能得以有效發(fā)揮，有必要對(duì)企業(yè)債市場(chǎng)的流動(dòng)性問(wèn)題進(jìn)行深入研究。 本文在借鑒國(guó)內(nèi)外債券市場(chǎng)流動(dòng)性研究成果的基礎(chǔ)上，采用理論分析和實(shí)證研究相結(jié)合的方法，選擇在銀行間市場(chǎng)和交易所市場(chǎng)同時(shí)發(fā)行交易的企業(yè)債為研究對(duì)象，比較分析兩市場(chǎng)企業(yè)債流動(dòng)性水平、流動(dòng)性影響因素以及流動(dòng)性互動(dòng)關(guān)系。首先，選取適合跨市場(chǎng)企業(yè)債流動(dòng)性衡量的Amivest流動(dòng)性比率對(duì)企業(yè)債兩市場(chǎng)的流動(dòng)性進(jìn)行測(cè)度，并進(jìn)行了統(tǒng)計(jì)描述分析；其次，構(gòu)建面板數(shù)據(jù)模型，從外部環(huán)境、發(fā)行人特征和債券特征三方面選取了7個(gè)因素全面分析對(duì)企業(yè)債市場(chǎng)流動(dòng)性的影響；最后從時(shí)間序列角度，利用格蘭杰因果檢驗(yàn)?zāi)Ｐ涂疾靸墒袌?chǎng)流動(dòng)性互動(dòng)關(guān)系。 研究結(jié)果表明：企業(yè)債在兩市場(chǎng)的流動(dòng)性水平相差懸殊，銀行間市場(chǎng)具有更高的流動(dòng)性；股市行情、債券余額和剩余期限對(duì)兩市場(chǎng)流動(dòng)性的影響存在顯著差異；銀行間市場(chǎng)企業(yè)債的流動(dòng)性變化領(lǐng)先于交易所市場(chǎng)企業(yè)債流動(dòng)性變化。基于實(shí)證結(jié)果，本文從投資主體、交易機(jī)制、托管體系及交易成本的角度深入剖析了企業(yè)債流動(dòng)性的諸多差異及其成因，最后針對(duì)我國(guó)企業(yè)債的流動(dòng)性問(wèn)題提出推動(dòng)建立統(tǒng)一高效、高流動(dòng)性的企業(yè)債市場(chǎng)的建議。
[Abstract]:Liquidity is the lifeblood of the development of the enterprise bond market, and the liquidity directly affects the financing efficiency of the enterprise and the exertion of the financial function of the enterprise bond market.In recent years, the enterprise bond market in our country has developed rapidly, and the proportion of enterprise bonds issued and traded across the market is increasing.However, the inter-bank bond market and the exchange bond market are separated from each other, and the lack of liquidity and imbalance in the enterprise bond market hinder the healthy and rapid development of the enterprise bond market and reduce the efficiency of market operation.Therefore, it is necessary to study the liquidity of enterprise bond market in order to give full play to the function of raising and financing capital and the function of resource allocation in the enterprise bond market.Based on the research results of domestic and foreign bond market liquidity, this paper uses the method of theoretical analysis and empirical research to select corporate bonds which are issued and traded simultaneously in the interbank market and the exchange market as the object of study.Comparative analysis of the liquidity level of corporate bonds, liquidity factors and liquidity interaction between the two markets.Firstly, the Amivest liquidity ratio which is suitable for cross-market corporate bond liquidity measurement is selected to measure the liquidity of the two markets, and then the statistical description analysis is carried out. Secondly, the panel data model is constructed from the external environment.Three aspects of issuer characteristics and bond characteristics are selected to analyze the impact of seven factors on corporate bond market liquidity. Finally from the point of view of time series Granger causality test model is used to examine the interaction between the two markets liquidity.The results show that the liquidity level of corporate bonds varies greatly in the two markets, and the interbank market has higher liquidity, while the stock market, bond balance and remaining maturity have significant differences in the liquidity of the two markets.The liquidity change of corporate bonds in the interbank market is ahead of that in the exchange market.Based on the empirical results, this paper analyzes the differences and causes of corporate debt liquidity from the perspective of investment subject, transaction mechanism, trusteeship system and transaction cost.Finally, the paper puts forward some suggestions to promote the establishment of a unified, efficient and highly liquid corporate bond market in view of the liquidity of corporate bonds in China.
【學(xué)位授予單位】：蘇州大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F275

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