本文選題：債券 + GARCH模型��； 參考：《復(fù)旦大學(xué)》2014年碩士論文

【摘要】：近年來,中國債券市場變得越來越重要,交易量越來越大,參與者越來越多。在金融市場上,債券市場已經(jīng)逐漸擁有與股票市場同等重要的地位。投資者很關(guān)心債券市場的風(fēng)險(xiǎn),因此對(duì)債券波動(dòng)性的研究很有必要。由于我國債券市場分為幾個(gè)部分,在同樣的宏觀經(jīng)濟(jì)環(huán)境下,理論上各債券市場面臨的信息是一樣的。從對(duì)信息的反應(yīng)角度上來講,各債券市場也應(yīng)該是高度關(guān)聯(lián)的,但由于我國債券市場的各個(gè)部分有不同的投資者以及不同的交易規(guī)模,因此這樣的平臺(tái)給我們研究各個(gè)債券市場對(duì)信息的反應(yīng)是否都充分,價(jià)格是否具有同步性,或者說各個(gè)市場對(duì)信息反應(yīng)的快慢是否相同,是否一個(gè)市場對(duì)另一個(gè)市場具有先導(dǎo)性等問題提供了條件。并且這類的研究對(duì)投資者很重要,對(duì)理論也很重要,但相關(guān)研究比較少,因此本文首先對(duì)債券市場各部分的波動(dòng)性進(jìn)行研究,然后利用我國債券市場各部分的相關(guān)性分析來判斷各部分對(duì)信息反應(yīng)的情況,為投資者投資提供一些投資建議。并得出以下結(jié)論：第一,通過GARCH模型對(duì)我國債券市場各部分的波動(dòng)性進(jìn)行了分析,實(shí)證結(jié)果表明,銀行間國債市場的風(fēng)險(xiǎn)比交易所國債市場的小,銀行間金融債市場的風(fēng)險(xiǎn)小于交易所公司債券市場。由于GARCH模型擬合出來的是一個(gè)動(dòng)態(tài)的結(jié)果,反映了時(shí)變的現(xiàn)象,隨著時(shí)間的推進(jìn),銀行間國債市場、交易所國債市場以及銀行間金融債市場的波動(dòng)逐漸變大,交易所公司債券市場的波動(dòng)明顯變小。第二,運(yùn)用向量自回歸模型、Granger因果分析、脈沖響應(yīng)分析以及方差分解分析等方法,分析了我國債券市場各部分的相關(guān)性,并依此來判斷各部分對(duì)信息反應(yīng)的情況。分析得出的實(shí)證結(jié)果表明,銀行間市場對(duì)信息的反應(yīng)更快,交易所市場對(duì)信息的反應(yīng)滯后。
[Abstract]:In recent years, China's bond market has become increasingly important, trading volume is increasing, more and more participants. In the financial market, the bond market has gradually become as important as the stock market. Investors are concerned about the risk of bond market, so it is necessary to study bond volatility. Because China's bond market is divided into several parts, in the same macroeconomic environment, the information that each bond market faces in theory is the same. From the point of view of the response to information, the bond market should also be highly relevant. However, because of the different investors and different trading scales in various parts of the bond market in China, So this kind of platform gives us a study of whether each bond market is responding adequately to information, whether the price is synchronized, or whether each market has the same speed of response to information. The question of whether one market is a guide to another is a condition. And this kind of research is very important to investors and theory, but there are few related studies, so this paper first studies the volatility of various parts of the bond market. Then we use the correlation analysis of each part of our country's bond market to judge the reaction of each part to the information, and provide some investment suggestions for investors. The main conclusions are as follows: first, the volatility of various parts of China's bond market is analyzed by GARCH model. The empirical results show that the risk of interbank bond market is smaller than that of exchange bond market. The risk of interbank financial bond market is less than that of exchange company bond market. Because the GARCH model is a dynamic result, it reflects the time-varying phenomenon. With the development of time, the fluctuation of the inter-bank bond market, the exchange bond market and the interbank financial bond market is gradually increasing. The volatility in the exchange company bond market has become significantly smaller. Secondly, by using the vector autoregressive model Granger causality analysis, impulse response analysis and variance decomposition analysis, this paper analyzes the correlation of each part of the bond market in China, and judges the response of each part to the information. The empirical results show that the response of the interbank market to information is faster than that of the exchange market.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

【參考文獻(xiàn)】

相關(guān)期刊論文 前2條

1 朱孔來,倪杰;對(duì)我國股票市場股指波動(dòng)特性的實(shí)證分析[J];數(shù)理統(tǒng)計(jì)與管理;2005年03期

2 李合怡;;股票市場與債券市場波動(dòng)的溢出效應(yīng)研究——基于交易所和銀行間市場的實(shí)證分析[J];現(xiàn)代經(jīng)濟(jì)信息;2012年04期

，

本文編號(hào)：2020043