本文關(guān)鍵詞：我國(guó)公司債券市場(chǎng)流動(dòng)性效應(yīng)的實(shí)證研究　出處：《江西財(cái)經(jīng)大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 公司債券 流動(dòng)性 影響因素 流動(dòng)性效應(yīng)

【摘要】：充足的流動(dòng)性是金融市場(chǎng)正常運(yùn)行、資源有效配置以及經(jīng)濟(jì)增長(zhǎng)的前提條件。近年來,尤其是次貸危機(jī)后,公司債券市場(chǎng)的流動(dòng)性已成為歐美國(guó)家市場(chǎng)監(jiān)管機(jī)構(gòu)和市場(chǎng)參與者關(guān)注的重點(diǎn)。他們甚至覺得流動(dòng)性風(fēng)險(xiǎn)是公司債券市場(chǎng)上目前最大的擔(dān)憂,而不是信用風(fēng)險(xiǎn)與利率風(fēng)險(xiǎn)。在我國(guó),雖然提出了大力發(fā)展公司債券市場(chǎng)的戰(zhàn)略,但是由于多方面的原因,我國(guó)公司債券市場(chǎng)發(fā)展比較緩慢。與歐美發(fā)達(dá)國(guó)家相比,我國(guó)公司債券市場(chǎng)流動(dòng)性問題更為突出,流動(dòng)性對(duì)我國(guó)公司債券市場(chǎng)效率、資產(chǎn)價(jià)格和公司投融資影響顯著。公司債券市場(chǎng)的流動(dòng)性衡量及其影響因素和流動(dòng)性效應(yīng)研究有助于揭示流動(dòng)性效應(yīng)對(duì)公司債券價(jià)格的影響機(jī)理,對(duì)改進(jìn)債券定價(jià)方法和拓展“信用價(jià)差之謎”問題的研究領(lǐng)域具有積極的學(xué)術(shù)意義。同時(shí),對(duì)我國(guó)公司債券市場(chǎng)的發(fā)展具有重要的現(xiàn)實(shí)意義。本文基于我國(guó)公司債券市場(chǎng)數(shù)據(jù),對(duì)該市場(chǎng)的流動(dòng)性衡量及其影響因素和流動(dòng)性效應(yīng)進(jìn)行實(shí)證研究。 首先,討論市場(chǎng)流動(dòng)性的交易價(jià)格、交易數(shù)量和交易速度三方面內(nèi)涵,市場(chǎng)流動(dòng)性衡量存在維度效應(yīng)。基于我國(guó)公司債券市場(chǎng)日交易和報(bào)價(jià)數(shù)據(jù),以買賣價(jià)差、交易量、交易間隔時(shí)間、價(jià)格變化自協(xié)方差和價(jià)格沖擊等指標(biāo)作為衡量不同維度的市場(chǎng)流動(dòng)性衡量指標(biāo)的代表,對(duì)公司債券市場(chǎng)流動(dòng)性衡量存在維度效應(yīng)假設(shè)進(jìn)行檢驗(yàn)。實(shí)證研究發(fā)現(xiàn),公司債券市場(chǎng)流動(dòng)性衡量存在顯著的維度效應(yīng)。交易價(jià)格、交易數(shù)量和交易速度三個(gè)維度的信息重疊不大,買賣價(jià)差、交易量、交易間隔時(shí)間等單維度衡量指標(biāo)提供的市場(chǎng)流動(dòng)性信息有限,價(jià)格變化自協(xié)方差和價(jià)格沖擊等多維度衡量指標(biāo)比單維度衡量指標(biāo)能夠更全面地衡量市場(chǎng)流動(dòng)性狀況。結(jié)論能夠通過基于時(shí)間窗口、最低樣本數(shù)量和相鄰價(jià)格時(shí)間間隔最大值的穩(wěn)健性檢驗(yàn)。 其次,以季度為時(shí)間窗口,使用價(jià)格沖擊、交易間隔時(shí)間和交易量作為我國(guó)公司債券流動(dòng)性不同維度的衡量,分析了我國(guó)公司債券市場(chǎng)流動(dòng)性的微觀影響因素,并用月度時(shí)間窗口做了穩(wěn)健性檢驗(yàn)。結(jié)果發(fā)現(xiàn),發(fā)行量、票面利率對(duì)流動(dòng)性存在正向影響效應(yīng)；債券評(píng)級(jí)、擔(dān)保等債券信用信息、年齡、剩余期限負(fù)向影響公司債券流動(dòng)性；債券特殊條款和交易量之間存在顯著正相關(guān),與交易時(shí)間間隔負(fù)相關(guān)；發(fā)行人特征對(duì)債券流動(dòng)性不存在顯著影響。此外還發(fā)現(xiàn)回歸的截距項(xiàng)非常顯著,R2不超過0.5,說明除了債券特征因素,宏觀市場(chǎng)環(huán)境等因素會(huì)對(duì)公司債券市場(chǎng)流動(dòng)性產(chǎn)生顯著影響。 再次,采用不同的樣本區(qū)間,同時(shí)考慮銀行間債券市場(chǎng)影響,應(yīng)用VAR模型對(duì)我國(guó)證券市場(chǎng)間的流動(dòng)性動(dòng)態(tài)關(guān)系進(jìn)行實(shí)證分析。結(jié)果表明,股票市場(chǎng)和交易所債券市場(chǎng)流動(dòng)性之間存在流動(dòng)性溢出效應(yīng)；交易所國(guó)債市場(chǎng)和交易所公司信用類債券市場(chǎng)的流動(dòng)性存在同向聯(lián)動(dòng)關(guān)系；銀行間債券市場(chǎng)流動(dòng)性反映金融市場(chǎng)宏觀流動(dòng)性；交易所債券市場(chǎng)和銀行間債券市場(chǎng)之間流動(dòng)性轉(zhuǎn)移短期受宏觀流動(dòng)性影響,長(zhǎng)期受流動(dòng)性溢出效應(yīng)影響；股票市場(chǎng)與交易所公司信用類債券市場(chǎng)的流動(dòng)性聯(lián)系非常緊密,分析我國(guó)證券市場(chǎng)流動(dòng)性溢出效應(yīng)時(shí)需考慮公司信用類債券市場(chǎng)的影響。 最后,公司債券市場(chǎng)流動(dòng)性效應(yīng)對(duì)解釋公司債券“信用價(jià)差之謎”現(xiàn)象有著重要作用。基于西方成熟市場(chǎng)經(jīng)濟(jì)國(guó)家的研究證實(shí),公司債券市場(chǎng)存在顯著的流動(dòng)性效應(yīng)。本文應(yīng)用面板數(shù)據(jù)時(shí)間固定效應(yīng)模型,對(duì)我國(guó)公司債券市場(chǎng)流動(dòng)性效應(yīng)進(jìn)行了實(shí)證研究。在研究中,使用經(jīng)久期修正的公司債券信用價(jià)差為因變量,以信用評(píng)級(jí)、財(cái)務(wù)指標(biāo)、發(fā)行人股票波動(dòng)率和債券條款為信用風(fēng)險(xiǎn)控制變量,采用日換手率、交易間隔時(shí)間、價(jià)格沖擊、價(jià)格變化自協(xié)方差和價(jià)格離散度等作為市場(chǎng)流動(dòng)性衡量,并對(duì)自變量?jī)?nèi)生性、傳統(tǒng)信用價(jià)差衡量以及樣本選擇進(jìn)行了穩(wěn)健性檢驗(yàn)。研究結(jié)果表明,時(shí)間固定效應(yīng)模型的擬合優(yōu)度遠(yuǎn)優(yōu)于公司固定效應(yīng)模型的擬合優(yōu)度,更適合用來研究公司債券市場(chǎng)流動(dòng)性效應(yīng)。價(jià)格沖擊和價(jià)格變化自協(xié)方差代理的債券非流動(dòng)性對(duì)債券信用價(jià)差存在顯著正影響,我國(guó)公司債券市場(chǎng)上存在流動(dòng)性效應(yīng),該結(jié)論能通過內(nèi)生性問題、不同信用質(zhì)量債券樣本的穩(wěn)健性檢驗(yàn)。但在極端市場(chǎng)行情期間,我國(guó)公司債券市場(chǎng)上不存在顯著流動(dòng)性效應(yīng)。
[Abstract]:Adequate liquidity is the normal operation of the financial market, prerequisite for the efficient allocation of resources and economic growth. In recent years, especially after the subprime crisis, the liquidity of the corporate bond market has become Europe and the United States market regulators and market participants focus. They even think that liquidity risk is the biggest worry corporate bond market. Instead, credit risk and interest rate risk. In our country, although proposed to vigorously develop the corporate bond market strategy, but due to various reasons, China's corporate bond market development is relatively slow. Compared with the developed countries, the liquidity problem of China's corporate bond market is more prominent, the efficiency of liquidity of China the corporate bond market, asset prices and investment financing was significant. The liquidity of the corporate bond market and its influence factors and liquidity effects contribute to the mortgage As liquidity effect on corporate bond price mechanism, is of positive significance to study the field of improved bond pricing method and expanding "the credit spread puzzle problem. At the same time, has important practical significance on the development of China's corporate bond market. The corporate bond market in China based on the data of the market the measurement of liquidity and empirical research on the influencing factors and the liquidity effect.
First, discuss the market liquidity of the transaction price, trading volume and transaction speed three aspects, market liquidity measure dimension effect. China's corporate bond market trading and price data based on the spreads, trading volume, transaction time interval, the price change since the covariance and price shock index as the representative indicators of measure the flow of different dimensions of the measure of the market, the corporate bond market liquidity hypothesis has dimension effect. The empirical study shows that the liquidity of corporate bond market has significant effect to measure dimensions. The transaction price, trading volume and transaction speed of the three dimensions of information little overlap, spreads, trading volume, trading interval time of single dimension measure of market liquidity, limited information, price changes and price shock covariance multidimensional index than single dimension measure Indicators can comprehensively measure the market liquidity. Conclusions can be verified by robustness tests based on time windows, the minimum sample size and the maximum time interval between adjacent prices.
Secondly, in the quarter for the time window, the use of price impact, transaction time interval and trading volume as a measure of the different dimensions of China's corporate bond liquidity, analyzes the micro influencing factors of liquidity of China's corporate bond market, and a robust test using the monthly time window. The results showed that the circulation, the coupon rate of the positive effect of liquidity; bond rating bond credit guarantee, information age, the remaining term negative impact on corporate bond liquidity; there is a significant positive correlation between the bond terms and special trading volume and transaction time interval are negatively correlated; the issuer characteristics has no significant impact on bond liquidity. In addition, the return of the intercept is very significant, R2 is less than 0.5, except that the bond characteristic factors, macro market environment and other factors will have a significant impact on the corporate bond market liquidity.
Again, the use of different sample interval, considering the inter-bank bond market, the application of VAR model for empirical analysis of liquidity dynamic relationship between China's securities market. The results show that the existence of liquidity between the stock market and stock exchange bond market liquidity spillover effect; liquidity exchange bond market and Exchange Company credit bonds the market with the linkage relationship; the liquidity of interbank bond market reflects the macro financial market liquidity; liquidity transfer by short-term macro liquidity effect between the bond market and the inter-bank bond market, the long-term impact of liquidity spillovers; tight liquidity of stock market and Exchange Company credit bond market, consider effect of corporate credit bond market to analyze the liquidity spillover effect of China's securities market.
Finally, the liquidity effect of corporate bond market plays an important role in explaining the corporate bond credit spread puzzle "phenomenon. The research of western mature market economy countries confirmed based on corporate bond market liquidity has significant effect. The application of time fixed effect panel data model of China's corporate bond market liquidity effect in the empirical study. In the study, the use of corporate bond credit spreads and fixed period as the dependent variable, the credit rating, financial indicators, the terms of the issuer volatility of stock and bond credit risk control variables, the exchange rate, the transaction time interval, the price impact of price change since the covariance and price dispersion as measure of market liquidity, and the endogenous variables, the traditional measure of credit spreads and sample selection of the robustness test. The results show that the time fixed effect Fitting the goodness of fit is far better than the company fixed effects of the model goodness, more suitable to the study of the corporate bond market liquidity effect. Price shocks and price changes have a significant positive impact on the liquidity of the bond credit spreads of non self covariance agency bonds, liquidity effect existing in China's corporate bonds market, this conclusion can the problem of endogeneity, robustness test of different credit quality bonds. But during the sample in the extreme market market, significant liquidity effect does not exist on the corporate bond market in China.

【學(xué)位授予單位】：江西財(cái)經(jīng)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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