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论文编号：	7514
作者编号：	2120132442
上传时间：	2015/6/11 9:32:08
中文题目：	我国国债与企业债流动性、价格发现、收益率波动性研究
英文题目：	Research of liquidity, price discovery and yields’ volatility between government and corporate bonds
指导老师：	王永进 教授
中文关键字：	国债；企业债；流动性；价格发现；收益率波动
英文关键字：	government bonds; corporate bonds; liquidity; price discovery; volatility of yield
中文摘要：	现代金融的三大工具包括股票、债券以及衍生证券。股票和债券是两大原生性金融工具，衍生证券就是在此基础上衍生出来的。由于债券的一系列优越性，债券市场已成为目前世界上最大的金融市场。但反观我国金融市场，在市场规模、市场参与度和交易活跃程度上，股票市场都超过债券市场，这导致债券市场的基础性作用难以得到发挥。同时，在我国债券市场内部，国债在发行质量和数量上都超过了企业债。由于我国债券市场不发达，企业融资主要还是通过发行股票和银行贷款而非债券融资。股票融资的门槛和发行费用高，银行贷款高额利息和严苛的放贷条件，这使得我国企业融资不畅、经营发展受阻。以上情况都表明，我国债券市场的重要作用亟需得到充分发挥。 为了探究我国债券市场发展现状，寻求改善我国债券市场状况的方法，本文一方面从债券市场内部入手，比较国债与企业债市场发展差异，同时分析国债市场能否有助于完善企业债市场，进而促进债券市场全面繁荣；另一方面从债券市场外部投资者角度出发，研究国债和企业债市场能否实现风险对冲、两市场投资组合能否提高投资效率，从而吸引更多投资资金。 本文从流动性角度分析国债与企业债发展差异，从价格发现角度分析国债市场是否有利于企业债市场发展。我们选取2012到2013年期间286只国债和1302只企业债作为样本，通过统计和模型分析，研究发现：我国国债流动性明显好于企业债流动性；但国债对企业债的价格发现功能并不显著，国债作为只承担系统风险的基准债券不能测度企业债，我国债券市场功能有待改善。 本文又从投资者的角度分析，国债和企业债的市场组合能否帮助投资者对冲风险、提高投资效率。由于收益率波动性是债券风险的指向标，本文另一个重点是分析国债和企业债收益率波动之间的相关性。我们选取2005到2014年间上证国债指数和企业债指数每日收益率数据为样本，利用经典的VAR模型，通过单位根检验、最优滞后阶数判断、Johansen协整检验、Granger因果检验以及脉冲响应函数分析得出：企业债的收益率和收益率波动明显大于国债收益率，这印证了金融市场风险收益一致性原理；国债和企业债收益率存在长期的均衡关系，而且两者存在双向因果关系，会产生相互影响；更重要的是，国债和企业债收益率容易受相同市场因素影响并产生同向波动，这暗示两市场投资组合可能不能用来分散市场风险从而提高投资期望收益。 本文创新性地从国债和企业债间关系分析如何促进我国企业债市场发展，并从两者收益率波动关系研究投资组合和风险控制。本文在研究中还发现企业债收益率波动与股票市场波动间存在某些相关性，这启发我们在今后研究中可以挖掘企业债市场与股票市场的关系，这将有利于提高金融市场投资效率。
英文摘要：	Bonds, stocks and derivative securities are three main tools of modern finance. Stocks and bonds are the two primordial financial instruments, and derivative securities is based them. Due to a series of advantages of bonds, the bond market has become the world’s largest financial market. In contrast to China’s financial market, stock market are stronger than bond market in both market size and trading activity. In the interior of China’s bonds market, government bonds are in excess of corporate bonds on quality and quantity of bonds’ issue. Because China’s bond market is underdeveloped, corporate finance mainly rely on bank loans and issuing equity rather than bond financing. Due to the high threshold, issuance costs of equity financing and high interest rate, stringent lending conditions of bank loans, companies are facing poor financing and business development blocked. The above have shown the important role of China’s bond market need to be fully realized. From the perspective of the relationship between corporate bonds and government bonds, on one hand, this paper studies whether government bond market could help to improve corporate bond market, on the other hand, it researches whether the portfolio of corporate and government bonds can achieve hedge and improve efficiency of investment. We choose 286 government bonds and 1302 corporate bonds during the year of 2012 and 2013. Using linear regression analysis, the study found: as benchmark bonds that only bear systematic risk, government bonds can measure corporate bonds, improve the overall opportunity of bond market and help price discovery. However, the liquidity impact of government bonds to corporate bonds is not significant. This paper also analyzes whether the market portfolio of government and corporate bond can help investors hedge risk. Due to the volatility of yield is the beacon of bond risk, another task is to analyze the correlation between yield volatility of government and corporate bonds. We select daily return data of government bond index and corporate bond index between 2005 and 2014. Using classical VAR model, unit root test, optimal lag order test, Johansen cointegration test, Granger causality test and impulse response function, we found that the yield and its fluctuation of corporate are significantly greater than government, which confirms the principle of risk-return’s consistency in financial market; there exists long-term equilibrium relationship between the two bonds’ yield and there is a two-way causal relationship; what’s more, two bonds’ yield tend to affected by same market forces then produce volatility of same direction, which implies that portfolio may not be used to disperse market risk then improve expected return. This article innovatively study how to promote the development of corporate bonds from the relationship between government bonds and corporate bonds. In this paper, we also found that there may be some correlation between corporate bond yields between volatility and stock market volatility. It inspired us to dig relationship between corporate bonds and stock market in future research, which will help to improve the efficiency of financial investment markets.
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