【摘要】：公司債券作為金融市場(chǎng)的重要工具，對(duì)實(shí)體經(jīng)濟(jì)有著不可或缺的促進(jìn)作用，同時(shí)能夠有效地幫助企業(yè)改善資本結(jié)構(gòu)。我國(guó)資本市場(chǎng)發(fā)展時(shí)間相對(duì)較短，缺乏有效的定價(jià)與風(fēng)險(xiǎn)管理機(jī)制，公司債券市場(chǎng)更是缺乏一個(gè)規(guī)范、完善的風(fēng)險(xiǎn)管理體系和市場(chǎng)化標(biāo)準(zhǔn)。信用利差作為公司債券市場(chǎng)的晴雨表，其作用在于把控公司債券的風(fēng)險(xiǎn)水平，同時(shí)為投資者提供資產(chǎn)配置選擇的思路，研究信用利差的影響因素已成為理論界和實(shí)務(wù)界的一個(gè)熱議話題。 由于市場(chǎng)容量小、市場(chǎng)參與者受到限制，我國(guó)公司債券市場(chǎng)流動(dòng)性不足的問題尤為突出。充足的流動(dòng)性是經(jīng)典金融理論的重要條件，同時(shí)也是金融市場(chǎng)進(jìn)行有效配置的前提，目前已有研究表明流動(dòng)性對(duì)于公司債券的信用利差具有一定的影響作用。 本文聯(lián)系了我國(guó)公司債券市場(chǎng)的實(shí)際情況，對(duì)流動(dòng)性、信用利差以及它們之間的關(guān)系進(jìn)行了積極的探討，文章通過理論分析和實(shí)證模型，以公司債券流動(dòng)性作為主要的解釋變量，對(duì)信用利差的影響因素進(jìn)行了分析檢驗(yàn) 本文利用目前分析信用利差影響因素最為廣泛的回歸分析法，，選取了衡量流動(dòng)性四維度屬性的三個(gè)度量指標(biāo)，分別構(gòu)建了三個(gè)流動(dòng)性因素多元回歸模型，去分析公司債券流動(dòng)性對(duì)信用利差的影響，并以宏觀因素模型作為基準(zhǔn)項(xiàng)，研究發(fā)現(xiàn)公司債券流動(dòng)性主要通過交易量對(duì)信用利差產(chǎn)生作用，并從理論和現(xiàn)實(shí)的角度闡明了宏觀因素和流動(dòng)性對(duì)信用利差的影響機(jī)制。
[Abstract]:As an important tool of financial market, corporate bonds play an indispensable role in promoting the real economy, and can effectively help enterprises to improve their capital structure. The development time of capital market in our country is relatively short, the effective pricing and risk management mechanism is lacking, and the corporate bond market is lack of a standard, perfect risk management system and market-oriented standard. As a barometer of the corporate bond market, credit spreads play a role in controlling the risk level of corporate bonds and providing investors with ideas for asset allocation. It has become a hot topic in theory and practice to study the influencing factors of credit spreads. Because the market capacity is small and the market participants are restricted, the lack of liquidity in China's corporate bond market is particularly prominent. Adequate liquidity is not only an important condition of classical financial theory, but also the premise of effective allocation of financial market. At present, it has been shown that liquidity has a certain impact on the credit spreads of corporate bonds. Based on the actual situation of our country's corporate bond market, this paper makes a positive discussion on liquidity, credit spreads and the relationship between them, through theoretical analysis and empirical model. Taking corporate bond liquidity as the main explanatory variable, this paper analyzes and tests the influencing factors of credit spreads by using the regression analysis method, which is the most widely used to analyze the influencing factors of credit spreads. This paper selects three measures to measure the four dimensional attributes of liquidity and constructs three multivariate regression models of liquidity factors to analyze the impact of corporate bond liquidity on credit spreads and take the macro factor model as the benchmark. It is found that the liquidity of corporate bonds exerts an effect on the credit spreads mainly through the volume of trading volume, and expounds the macro factors and the mechanism of the influence of liquidity on the credit spreads from the theoretical and practical perspectives.
【學(xué)位授予單位】：暨南大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F224;F832.51

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