本文關(guān)鍵詞：中美債券市場(chǎng)有效性比較研究　出處：《華東師范大學(xué)》2013年碩士論文　論文類型：學(xué)位論文

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【摘要】：建立多層次的資本市場(chǎng)對(duì)促進(jìn)一國(guó)經(jīng)濟(jì)發(fā)展和發(fā)揮金融市場(chǎng)機(jī)制具有重大意義,而在資本市場(chǎng)體系不斷構(gòu)建的過(guò)程中,判斷市場(chǎng)在當(dāng)前所處的發(fā)展階段以及發(fā)展程度卻是至關(guān)重要的,只有找出市場(chǎng)現(xiàn)行存在的問(wèn)題,才能提出對(duì)應(yīng)的政策建議,市場(chǎng)的發(fā)展才更加具有方向。近年來(lái),我國(guó)債券市場(chǎng)迎來(lái)重大發(fā)展機(jī)遇,取得了一系列發(fā)展成果：市場(chǎng)基礎(chǔ)設(shè)施日趨完善,債券品種不斷推陳出新,債券市場(chǎng)容量進(jìn)一步擴(kuò)大,投資氛圍活躍等,已然成為資本市場(chǎng)的重要組成部分。因此,我們有必要對(duì)債券市場(chǎng)的有效性進(jìn)行檢驗(yàn),研究分析我國(guó)債券市場(chǎng)在當(dāng)前所處的發(fā)展階段,從而為探索我國(guó)債券市場(chǎng)未來(lái)的發(fā)展路徑,完善我國(guó)多層次的資本市場(chǎng)做出有益嘗試。 本文首先對(duì)眾多學(xué)者關(guān)于市場(chǎng)有效理論的研究進(jìn)行梳理總結(jié),詳細(xì)闡述了市場(chǎng)有效性的內(nèi)涵和理論基礎(chǔ)。其次,引入美國(guó)債券市場(chǎng)作為參照對(duì)象,通過(guò)對(duì)中美債券市場(chǎng)發(fā)展歷程和現(xiàn)狀進(jìn)行比較分析,找出我國(guó)債券市場(chǎng)與發(fā)達(dá)國(guó)家債券市場(chǎng)之間存在的差距。再者,文章對(duì)中美兩國(guó)債券市場(chǎng)的內(nèi)在效率性和外在效率性進(jìn)行檢驗(yàn),通過(guò)定量分析全面展現(xiàn)上述兩國(guó)債券市場(chǎng)的效率及差距。最后,基于上文的定性和定量分析,為促進(jìn)我國(guó)債券市場(chǎng)發(fā)展提出了相關(guān)的政策建議。 通過(guò)對(duì)中美兩國(guó)債券市場(chǎng)現(xiàn)狀對(duì)比分析以及內(nèi)外在效率的實(shí)證檢驗(yàn),本文得到以下結(jié)論：美國(guó)債券市場(chǎng)已經(jīng)建立起了有效的內(nèi)部運(yùn)行機(jī)制和外部制度保障,成為一個(gè)較為成熟的市場(chǎng)。在內(nèi)在效率檢驗(yàn)中,美國(guó)債券市場(chǎng)流動(dòng)性充足,市場(chǎng)穩(wěn)定機(jī)制充分發(fā)揮,市場(chǎng)透明度強(qiáng)；在外在效率檢驗(yàn)中,美國(guó)債券市場(chǎng)對(duì)宏觀信息反應(yīng)敏感,并且通過(guò)了弱式有效檢驗(yàn),市場(chǎng)整體呈現(xiàn)有效率。反觀中國(guó)債券市場(chǎng),在債券規(guī)模、品種以及市場(chǎng)組織制度方面都存在不足,市場(chǎng)流動(dòng)性及穩(wěn)定性差,相關(guān)信息沒(méi)有得到充分披露,且相較于股票市場(chǎng),我國(guó)債券市場(chǎng)對(duì)宏觀信息缺乏敏感性,無(wú)法通過(guò)弱式有效檢驗(yàn),這說(shuō)明當(dāng)前我國(guó)債券市場(chǎng)仍處于非效率狀態(tài),需要加強(qiáng)市場(chǎng)機(jī)制和外部制度建設(shè)。
[Abstract]:The establishment of a multi-level capital market is of great significance to promote the economic development of a country and a financial market mechanism, process and continuous construction in the capital market system, the market in the current stage of development and the degree of development is very important, only to find out the present problems of the market, it puts forward the corresponding policy proposal to. The development of the market will have more direction. In recent years, China's bond market ushered in a major development opportunity, made a series of achievements: market infrastructure, bond products innovation, the bond market capacity to further expand investment, active atmosphere, has become an important part of the capital market. Therefore, it is necessary for us to to test the effectiveness of the bond market, analysis of China's bond market in the current stage of development, so as to explore the Chinese bond market. The future development path of the field will make a useful attempt to improve the multi-level capital market in China.
This paper first summarizes the research on the effective market theory many scholars, elaborates the connotation and theoretical basis of the effectiveness of the market. Secondly, the introduction of American bond market as the reference object, and carries on comparative analysis through the development history and current situation of Sino US bond market, find out between the bond market and bond market in developed countries the gap between the two countries. Furthermore, the bond market internal efficiency and external efficiency test, through quantitative analysis of the full efficiency and the two countries the gap between market bonds. Finally, the qualitative and quantitative analysis based on the above, we put forward some suggestions to promote the development of China's bond market.
Through the analysis of the Sino US bond market situation at home and abroad comparison and empirical test efficiency, this paper obtained the following conclusions: American bond market has established the internal operation mechanism and external guarantee system effectively, become a mature market. In the efficiency test, the U.S. bond market liquidity is adequate, stable market mechanism fully play, the transparency of the market; in the external efficiency test, the bond market is sensitive to the macro reaction, and through the weak effective inspection, the overall market efficiency. In the present China in the bond market, bond market scale, varieties and organization system are insufficient, liquidity and market stability is poor, no relevant information full disclosure, and compared to the stock market, the bond market in China lack of sensitivity to macroeconomic information, not through the weak type of effective inspection, this It shows that the current bond market in China is still in a state of inefficiency, and it is necessary to strengthen the market mechanism and the construction of the external system.

【學(xué)位授予單位】：華東師范大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2013
【分類號(hào)】：F832.51;F837.12

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