本文選題：銀行間債券市場 + 市場有效性　； 參考：《南京農(nóng)業(yè)大學》2012年碩士論文

【摘要】：成熟的債券市場是一個國家金融市場的基石,是國家實施宏觀調(diào)控傳導中央銀行貨幣政策的重要載體,對國家整個金融市場的長遠發(fā)展起著至關(guān)重要的作用。近年來,我國債券市場得到了快速發(fā)展,從遠落后于股票市場到目前已有大幅超過其規(guī)模的趨勢。我國債券市場主要由場外市場銀行間債券市場和場內(nèi)市場交易所債券市場組成,其中銀行間債券市場約占整個債券市場90%的債券托管量和交易量,銀行間債券市場是我國債券市場的主體和核心。 ‘我國銀行間債券市場正式成立于1997年,九十年代中期債券市場出現(xiàn)了許多類似“三二七國債期貨”的違規(guī)事件,大量銀行資金通過各種渠道流入股市,出于對風險的可控性,中國人民銀行將商業(yè)銀行從交易所債券市場撤出,成立了銀行間債券市場,從此就形成了我國債券市場上銀行間債券市場與交易所債券市場并存,但市場處于分割狀態(tài)的債券市場格局。經(jīng)過十余年的發(fā)展,銀行間債券規(guī)模已經(jīng)躍居世界第三,亞洲第二。在階梯式的發(fā)展、金融環(huán)境大變化、市場分割的背景下,我國銀行間債券市場有效性如何?它與另一個債券子市場交易所債券市場的效率比較與聯(lián)動性是怎樣的?這些都是亟待我們回答的問題。然而國內(nèi)市場有效性的研究大部分集中在我國股票市場,部分對于債券的研究也是基于的交易所債券市場,針對銀行間債券市場有效性的研究較少,且多為定性檢驗,研究的時期普遍在債券市場的起步階段。本文將基于經(jīng)典有效市場理論實證檢驗我國銀行間債券市場有效性,并從定價效率價格發(fā)現(xiàn)角度研究其與交易所債券市場的聯(lián)動性。全文主要以實證分析為主,定性分析為輔。 本文首先對于關(guān)于市場有效性檢驗的相關(guān)理論以及文獻進行回顧,并明確本文研究中的有效性體現(xiàn)為West和Tinic金融市場效率分類中的外在效率�？偨Y(jié)經(jīng)典市場有效理論的涵義與其后續(xù)的發(fā)展；對已有的有關(guān)市場有效性的文獻進行綜述,并比較前人在市場有效性檢驗上的途徑與方法。然后介紹銀行間債券市場的現(xiàn)狀,分析其發(fā)展狀況、組織結(jié)構(gòu)、債券發(fā)行定價機制等,并在第五章第一節(jié)中比較分析了市場分割下其與交易所債券市場的主要不同。 在研究分析了Fama有效市場假說理論,明確其假設前提基礎上,選取相對應的實證檢驗方法；實證中采用描述性分析、游程檢驗、序列相關(guān)性檢驗和方差比檢驗等方法對銀行間債券市場四類債券收益率分別進行實證檢驗,結(jié)果顯示四類債券均未通過價格行為符合隨機游走的檢驗,表明我國銀行間債券市場還未達到Fama所定義的弱式有效,且四類債券檢驗結(jié)果并無明顯區(qū)別；對債券市場收益率時間序列進行GARCH建模分析,結(jié)果顯示GARCH模型可以較好的擬合其波動性,說明當前價格變動可以用過去的價格來進行預測,在帶入風險參數(shù)的GARCH-M模型結(jié)果中顯示,銀行間債券市場中風險沒有得到合理的溢價,存在一定的非理性；運用R/S分析法計算出銀行間債券市場收益率Hurst指數(shù),四類債券-Hurst指數(shù)顯示均大于0.5,表明收益率存在長期記憶性,同樣反映出銀行間債券市場尚未達到弱式有效。在章節(jié)末,針對銀行間債券市場所處有效性狀態(tài),結(jié)合實際現(xiàn)狀給予一定的原因分析。 在運用VAR模型研究銀行間債券市場與交易所債券市場在信息定價效率、價格發(fā)現(xiàn)關(guān)聯(lián)性的研究中,實證結(jié)果反映出銀行間債券市場與交易所債券市場具有互相影響作用的關(guān)系,并在價格收益率序列上具有長期的均衡,從短期來看,銀行間債券市場定價效率要低于交易所債券市場,交易所債券市場處于短期價格發(fā)現(xiàn)的主導地位。在與前人的研究結(jié)果比較中表明,近年來我國銀行間債券市場效率有所提升,債券市場分割程度也得到了一定的緩解。 文末總結(jié)全文,并給出一些對未來研究的展望。
[Abstract]:The mature bond market is the cornerstone of a national financial market. It is an important carrier for the state to carry out the monetary policy of the central bank through macro regulation and control. It plays a vital role in the long-term development of the whole financial market of the country. In recent years, China's bond market has been developed rapidly, from far behind the stock market to the present time. The bond market of our country is mainly composed of the inter-bank bond market and the exchange bond market in the field market, in which the inter-bank bond market accounts for about 90% of the bond market and the volume of the bond market. The inter-bank bond market is the main body and core of the bond market in China.
"China's interbank bond market was formally established in 1997. In the mid 90s, there were many irregularities in the bond market similar to" 327 treasury bonds futures ". A large number of bank funds flow into the stock market through various channels. For the controllability of the risk, the people's Bank of China withdrew commercial banks from the exchange bond market. Since then, the interbank bond market has formed the coexistence of the interbank bond market and the exchange bond market in our country's bond market, but the market is in the split state of the bond market. After more than ten years' development, the scale of interbank bonds has jumped to third in the world and second in Asia. What is the efficiency of the inter-bank bond market in China under the background of cutting? How is the efficiency and linkage of the bond market with another bond market? These are all questions to be answered. However, most of the research on the effectiveness of the domestic market is concentrated in the stock market in our country, and the research on the bond is also the basis of the research. In the exchange bond market, there are few studies on the effectiveness of inter-bank bond market, and most of them are qualitative test. The period of research is generally in the initial stage of the bond market. This paper will empirically test the effectiveness of the inter-bank bond market in China based on the classic effective market theory, and study its and exchange from the angle of pricing efficiency and price discovery. The linkage of the bond market is mainly based on empirical analysis and qualitative analysis as a supplement.
This paper first reviews the relevant theories and literature about the market effectiveness test, and makes clear that the effectiveness of this study is embodied in the external efficiency of the West and Tinic financial market efficiency classification. The paper also compares the ways and methods of the previous market effectiveness test, then introduces the current situation of the interbank bond market, analyzes its development, organizational structure, bond issuance pricing mechanism and so on. In the first section of the fifth chapter, it compares and analyzes the main differences between the market and the exchange bond market under the market segmentation.
In this paper, the Fama effective market hypothesis theory is studied and analyzed. On the basis of the hypothesis, the corresponding empirical test method is selected. The empirical test of the four types of bond yields in the inter-bank bond market is tested by descriptive analysis, run test, sequence correlation test and variance ratio test, and the results show four categories. The bond market has not passed the test of random walk through the price behavior, which indicates that the interbank bond market in our country has not yet reached the weak validity defined by the Fama, and there is no obvious difference between the results of the four types of bonds. The GARCH modeling analysis of the time series of the bond market returns shows that the GARCH model can better fit the volatility of the bond market. It shows that the current price changes can be predicted by the past price. In the GARCH-M model with the risk parameters, the risk of the inter-bank bond market is not reasonably priced, and there is a certain irrationality. The R/S analysis method is used to calculate the Hurst index of the rate of return of the interbank bond market, and the -Hurst index of the four kind of bond is shown. The show is greater than 0.5, indicating the existence of long-term memory, which also shows that the interbank bond market has not yet reached a weak effect. At the end of the chapter, it gives a certain reason for the effectiveness of the inter-bank bond market and the actual situation.
The VAR model is used to study the interbank bond market and the exchange bond market in the information pricing efficiency and the relevance of the price discovery. The empirical results reflect the relationship between the interbank bond market and the exchange bond market, and have a long-term equilibrium in the order of price returns. In the short term, the bank is a bank. The pricing efficiency of the inter bond market is lower than the exchange bond market, and the exchange bond market is in the dominant position of the short-term price discovery. In comparison with the previous research results, the efficiency of the inter-bank bond market in China has been improved in recent years, and the degree of the bond market segmentation has also been alleviated.
At the end of this paper, we summarize the full text and give some prospects for future research.
【學位授予單位】：南京農(nóng)業(yè)大學
【學位級別】：碩士
【學位授予年份】：2012
【分類號】：F832.51

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