金融硕士答辩ppt.ppt

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1、ResearchonChina’sBondMarketSegmentation:EvidencefromtheInter-bankMarketandExchangeMarketIntroductionLiteratureReviewTestformarketsegmentationDeterminantsofmarketsegmentationConclusionsOutline1.IntroductionDevelopmentofChina’sbondmarketFigure1.T-bondsHoldingStr

2、ucturein20141988Formationofsecondarymarket1990Start-upofShanghaiExchange1997EstablishmentoftheInterbankmarketPresentThreesubmarketsFigure2.BondDistributionvolume(bymarket)1.IntroductionMotivationExchangemarketInter-bankmarket“Samebondbutdifferentprices”Questio

3、nsWhethermarketsegmentationexists？TestforexistenceWhymarketsegmentationexists？Findoutdeterminants1.IntroductionKeyfindingsContributionsBondmarketsegmentationMarketlevel:ExistenceMicrolevel:Determinants4Possibledeterminants1subject2levels4hypothesesExistence?Ye

4、s,exchangemarkethashigherpricediscoveryefficiency.Determinants?MarketriskdifferenceDemanddifferenceRiskpreferencedifferenceLiquiditydifferenceisnotsignificant.2.LiteratureReviewDefinitionEmpiricalstudyInvestorsandbondissuerscannotfreelytransferfundsbetweendiff

5、erentmarketswithoutcosts.(Culbertson,1957)Differentpricesforassetswithsimilarriskcharacteristicsindifferentmarkets.(Saudagaran,1988;Stulzetal,1995;Kearney,2004)3.TestformarketsegmentationIntegration：Two-wayGrangercausalityrelationshipSegmentation：NoGrangercaus

6、alityrelationshipPartialsegmentation：Lead-lagrelationshipHypothesis1:China’sbondmarketissegmented.Threescenarios(Chan,1992;Luoetal,2005):HypothesisVariablesSample&ModelSample:158samplepoints(Feb,2002~Mar,2015),monthlydata.Datasource:Winddatabase.Model:VAR(Vect

7、orAutoregressivemodel)3.TestformarketsegmentationVariableNameReasonRIBYieldsofChinaBondInter-bankTreasuryBondWealthIndexTimespan:EarliestandmostwidelyusedComposition:TakesinterestandreinvestedearningsintoaccountRSHYieldsofChinaBondExchangeTreasuryBondWealthInd

8、exControlsStockmarketreturn,M2,Industrialproduction,CPIProvedtoaffectthetwobondsubmarket.ResultsGrangercausalitytest3.TestformarketsegmentationNullHypothesisFstatisticsProb.RSHdoes