企業(yè)債券在銀行間市場和交易所市場的價(jià)格差異研究.pdf

1、 獨(dú)創(chuàng)性聲明 本人聲明所呈交的學(xué)位論文是本人在導(dǎo)師指導(dǎo)下進(jìn)行的研究工作和取得的研究成果， 除了文中特別加以標(biāo)注和致謝之處外， 論文中不包含其他人已經(jīng)發(fā)表或撰寫過的研究成果， 也不包含為獲得 天津大學(xué) 天津大學(xué) 或其他教育機(jī)構(gòu)的學(xué)位或證書而使用過的材料。 與我一同工作的同志對本研究所做的任何貢獻(xiàn)均已在論文中作了明確的說明并表示了謝意。 學(xué)位論文作者簽名： 簽字日期： 年 月 日 學(xué)位論文版

2、權(quán)使用授權(quán)書 本學(xué)位論文作者完全了解 天津大學(xué) 天津大學(xué) 有關(guān)保留、使用學(xué)位論文的規(guī)定。特授權(quán) 天津大學(xué) 天津大學(xué) 可以將學(xué)位論文的全部或部分內(nèi)容編入有關(guān)數(shù)據(jù)庫進(jìn)行檢索，并采用影印、縮印或掃描等復(fù)制手段保存、匯編以供查閱和借閱。同意學(xué)校向國家有關(guān)部門或機(jī)構(gòu)送交論文的復(fù)印件和磁盤。 （保密的學(xué)位論文在解密后適用本授權(quán)說明） 學(xué)位論文作者簽名： 導(dǎo)師簽名： 簽字日期： 年 月 日

3、 簽字日期： 年 月 日ABSTRACT After more than thirty years of development, Chinese bond market has helped raise a lot of money for ecomonic construction and so effectively propelled the national economic development.

4、 But due to historical reasons, the bond market is divided into the inter-bank bond market, the exchange bond market and the commercial bank bar bond markets. To promote the integration of the bond market, government bon

5、ds and corporate bonds have been able to issue and trade across the inter-bank bond market and the exchange bond market, however they don’t form the same price trend but with different prices. Although there are some pap

6、ers that study the government bonds, the methods and conclusions can’t be applied to corporate bonds. This paper takes the credit risk and liquidity spillover effect of stock market into account and pays much attention t

7、o the time variation characteristic of the spread, to give a full and reasonable explanation for the spread of cross-market corporate bonds. This paper takes the cross-market corporate bonds as the research sample, build

8、s the Markov regime-switching model, calculates variables from the perspective of market portfolio and studies the nonlinear relationship between interest rate risk, credit risk, liquidity risk and the market excess retu

9、rn. Empirical research indicates that the inter-bank bond market and the exchange bond market both behave differently in two regimes in the pricing of corporate bonds, that is to say the market excess return and the four

10、 risk factors have a significantly nonlinear relationship. Considering monthly growth rate of industrial added value, we find that the spread always appear in the increasing regimes and the extreme declining regimes, fur

11、ther analysis shows the spread is attributed to differences in liquidity and the compensation of risk variables, and all these can blame on different investors. In order to eliminate the spread and unify the bond market,

12、 investors must be allowed to trade freely. Meanwhile, for stable and healthy development of the bond market, we must expand the types of cross-market bonds and establish a unified custody system and supervision system.