债券市场流动性：资产定价与流动性转移行为
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摘要
资本市场流动性已成为金融学研究的热门问题,将其与资产定价、风险管理相结合,开启了资本市场研究的新领域。虽然已有相关研究主要针对股票市场,近年来对债券市场流动性的研究得到了越来越多的重视,特别是1998年秋季的俄罗斯国债事件,使人们对债券市场流动性的影响有了更深刻的认识。本文紧密结合中国债券市场的特殊背景,综合运用市场微观结构、资产定价、风险管理、投资组合等相关理论,采用规范的金融市场计量经济学研究方法,详细深入地分析了中国债券市场(交易所债券市场)的流动性问题。
首先,本文讨论了债券发行量、已发行时间、债券期限、息票利率、收益率波动性、久期、凸性、到期时间和到期收益率等与债券流动性紧密相关因素与债券定价的关系,间接检验了流动性在中国债券市场的定价作用。研究结论发现,控制了利率风险和信用风险因子后,这些与债券流动性相关的因素对中国企业债券定价的影响都是不显著或不稳定的。通过进一步讨论这些债券特征与利率风险、信用风险和流动性风险因子的关系发现,这些债券特征大都将显著地影响债券定价,与债券的某类风险(利率、信用和流动性风险)紧密相关,但主要影响债券信用风险;特别地,在中国企业债市场上,相对于利率风险和信用风险,流动性风险对债券定价的影响要微弱得多。
其次,本文从“流动性转移”的角度分析了中国债券市场流动性对市场收益率影响不显著的原因。本文根据流动性的高低构建债券组合,分别研究了中国国债和企业债市场上,流动性不同的债券之间收益率的关系,以及流动性风险特征的差异,从而检验中国债券市场上是否存在市场内的“流动性转移”行为。本文发现在中国国债和企业债市场上,流动性不同的债券之间存在“流动性转移”,投资者发现债券流动性变差时,将会把投资转移到流动性好的债券,“流动性转移”行为进一步增强了那些高流动性债券的流动性,降低了其流动性风险;在“流动性转移”行为中,投资者更倾向于投资发行量大、已发行时间长、期限长、息票利率高、波动率小、到期收益率高的债券。通过分析国债与企业债市场之间,不同流动性债券组合的相互关系,本文的研究还发现,控制了各自市场的利率风险及信用风险因素后,国债和企业债两个市场之间,以及两个市场中流动性不同的债券之间不存在显著的跨市场“流动性转移”行为。
再次,关于流动性对收益率是否具有跨市场影响以及流动性产生跨市场影响的原因和机制是什么,现有国内外研究还少有涉及。本文研究了中国债券市场上流动性跨市场影响的原因和机制,并讨论了宏观(货币)流动性与微观(交易)流动性的关系。研究结论发现,企业债市场流动性显著影响国债市场收益率,企业债市场价格冲击系数与国债市场收益率负相关,流动性跨市场影响的主要原因在于共同因素而非两个市场之间的“流动性转移”行为;共同因素引起的流动性跨市场影响,除了表现为一个市场流动性对另一个市场收益率的直接影响外,也表现为一个市场流动性的变化首先影响到另一个市场流动性,再通过流动性的变化影响到收益率的间接影响。不管是国债市场的流动性补偿作用,还是企业债市场流动性的跨市场作用,均主要源于非预期流动性的影响,预期流动性的影响作用则相对微弱。特别地,2004年4月,人民银行提高金融机构准备金率并实行差别准备金制度后,国债市场价格冲击系数显著增加、流动性显著下降,在中国债券市场本身流动性较差、市场参与者较少的情况下,流动性进一步下降后,投资者对债券的流动性关注可能进一步降低,从而可能使得流动性的补偿作用变得不显著。
最后,本文通过分析不同流动性的债券之间定单流信息含量的差异,对中国国债和企业债两个市场价格发现效率差异等问题进行了检验。研究结论发现,债券流动性将显著影响定单流的信息含量,流动性越好的债券,价格发现效率越高、定单流的信息含量越强;其中,交易最活跃、流动性最高的7年期和10年期国债的价格发现效率最高,其定单流不仅影响国债市场收益率,也将影响企业债市场收益率,控制了这两类国债定单流的影响后,其它国债和企业债的定单流对市场收益率的影响均不显著;国债和企业债市场之间的收益率和定单流都存在显著的领先滞后关系,国债市场具有“传递作用”,影响债券市场的共同因素将首先反应在国债市场上,然后通过国债市场传递到企业债市场;控制了定单流和收益率的领先滞后关系后,国债市场定单流与企业债市场收益率呈显著负相关关系,中国企业债与国债市场之间也存在显著的跨市场投资转移(Fight)的证据。
Capital market liquidity has become a hot research topic in market microstructure in recent years, and associating market microstructure with classical finance (e.g., asset pricing, risk management) opens a new filed in microstructure researches. While most of related studies focus on stock markets, liquidity in bond markets has attracted more and more attention. In particular, the default event of Russian Treasury bonds in 1998 gave people more deeply learnings on bond market liquidity. This thesis, based on the special features of the Chinese bond markets, uses the theories of market microstructure, asset pricing, risk management, investment portfolios and the methods of financial market econometrics to deeply analyze the liquidity on the Chinese bond markets (in the Shanghai and Zhenzhen exchanges).
First, this thesis discusses the relationships of bond pricing and the factors that associated with bond liquidity, including bond issued volume, age, term, coupon, volatility of yields, duration, convexity, year to maturity, and yield to maturity, to indirectly test the pricing effects of liquidity on the Chinese bond market. Results show that, after controlling for factors of credit and interest rates, these liquidity-related factors have insignificant and instable effects on bond pricing. The investigations on the relationship between these factors and interest rate risk, credit risk and liquidity risk show that more of these factors are associated with one of the three types of risk and thus affect bond pricing. However, they are mostly associated with bond credit risks. Particularly, in the Chinese enterprise bond market, the effects of liquidity risk on bond pricing are much weaker than that of interest rate and credit risks.
Second, this thesis discussed the reason for insignificant effects of bond market liquidity on market returns from the viewpoint of flight-to-liquidity. This thesis constructs bond portfolios according to bond liquidity, and discusses within-market flight-to-liquidity respectively on the Chinese enterprise and Treasury bond markets by investigating returns correlations and liquidity premium difference between theses bond portfolios with different liquidity. Furthermore, this thesis also discussed cross-market flight-to-liquidity between the markets. Results show that within-market flight-to-liquidity between bonds with different liquidity exists on both the Treasury and enterprise bond markets. Investors will transfer their funds to bonds with higher liquidity when they observe a decline in the liquidity of their bonds. Flight-to-liquidity further increases the liquidity of high-liquidity bonds and reduces their liquidity risk. In the flight, investors tent to select bonds with higher issued volume, on-the-run, longer term, high coupon, lower volatility, and higher yield-to-maturity. After controlling for interest rate and credit risks, flight-to-liquidity between the Treasury and enterprise bond markets is insignificant.
Third, the issued that whether there are cross-market effects of liquidity on returns or the reason for such a cross-market effect has not been clearly examined. This thesis investigates the cross-market effects of liquidity bond returns between the Treasury and enterprise bond markets and the reason and system of such a cross-market effect. Moreover, the relationship between macro-liquidity (monetary liquidity) and micro-liquidity (market liquidity) has been examined. Results show that there are significant effects of enterprise bond market liquidity on Treasury bond returns. The higher the price impacts (lower liquidity) on the enterprise bond market, the lower the returns on the Treasury bond market. Such a cross-market effect comes from the effects of common factors but not flight-to-liquidity between the two markets. In terms of the dynamics of the effects of common factors, liquidity on one market may directly affect returns on another market, or, indirectly, liquidity on one market affect liquidity on another market and then returns on the latter market may be affected by the change of its own liquidity. Both the within-market effects of liquidity on the Treasury bond market and the cross-market effects of enterprise bond market liquidity on Treasury bond market returns, the effects of unexpected liquidity dominate that of expected liquidity. In particular, the central bank increases the reserve preparation ratio and uses differentiating reserve system, the price impact coefficients rises and liquidity falls significantly. In the case of the Chinese bond market which has relatively low liquidity and no so many investors, the fall in liquidity may further reduce the attention of investors on liquidity, and reduce the premium effects of liquidity to be insignificant.
Finally, this thesis discusses the difference in the information content of order flow between bonds with different liquidity, and examines the differences in price discovery on the Treasury and enterprise bond market and cross-market flight. Results show that bond liquidity may significantly affect the information content of order flow. Bonds with higher liquidity may have higher information content of order flow and higher efficiency of price discovery. The mostly-active traded 7-year and 10-year bonds have the highest efficiency of price discovery. Their order flow not only affects the Treasury bond market returns, but also the enterprise bond market returns. After controlling for the effects of order flow on these two types of bonds, order flow for all other bonds is insignificant. There is significant lead-lag relationship for both returns and order flow between the two bond markets. There is a channel effect of the Treasury bond market. That is, the effects of common factors may firstly affect the Treasury bond market, and through the channel effect of the Treasury bond market, the effects of common factors will be transferred to the enterprise bond market. After the effects of such lead-lag relationships are controlled, there is a insignificant relationship between the order flow on the Treasury bond market and returns on the enterprise bond market, and evidence of flight between the two bond markets is also found.
首先,本文讨论了债券发行量、已发行时间、债券期限、息票利率、收益率波动性、久期、凸性、到期时间和到期收益率等与债券流动性紧密相关因素与债券定价的关系,间接检验了流动性在中国债券市场的定价作用。研究结论发现,控制了利率风险和信用风险因子后,这些与债券流动性相关的因素对中国企业债券定价的影响都是不显著或不稳定的。通过进一步讨论这些债券特征与利率风险、信用风险和流动性风险因子的关系发现,这些债券特征大都将显著地影响债券定价,与债券的某类风险(利率、信用和流动性风险)紧密相关,但主要影响债券信用风险;特别地,在中国企业债市场上,相对于利率风险和信用风险,流动性风险对债券定价的影响要微弱得多。
其次,本文从“流动性转移”的角度分析了中国债券市场流动性对市场收益率影响不显著的原因。本文根据流动性的高低构建债券组合,分别研究了中国国债和企业债市场上,流动性不同的债券之间收益率的关系,以及流动性风险特征的差异,从而检验中国债券市场上是否存在市场内的“流动性转移”行为。本文发现在中国国债和企业债市场上,流动性不同的债券之间存在“流动性转移”,投资者发现债券流动性变差时,将会把投资转移到流动性好的债券,“流动性转移”行为进一步增强了那些高流动性债券的流动性,降低了其流动性风险;在“流动性转移”行为中,投资者更倾向于投资发行量大、已发行时间长、期限长、息票利率高、波动率小、到期收益率高的债券。通过分析国债与企业债市场之间,不同流动性债券组合的相互关系,本文的研究还发现,控制了各自市场的利率风险及信用风险因素后,国债和企业债两个市场之间,以及两个市场中流动性不同的债券之间不存在显著的跨市场“流动性转移”行为。
再次,关于流动性对收益率是否具有跨市场影响以及流动性产生跨市场影响的原因和机制是什么,现有国内外研究还少有涉及。本文研究了中国债券市场上流动性跨市场影响的原因和机制,并讨论了宏观(货币)流动性与微观(交易)流动性的关系。研究结论发现,企业债市场流动性显著影响国债市场收益率,企业债市场价格冲击系数与国债市场收益率负相关,流动性跨市场影响的主要原因在于共同因素而非两个市场之间的“流动性转移”行为;共同因素引起的流动性跨市场影响,除了表现为一个市场流动性对另一个市场收益率的直接影响外,也表现为一个市场流动性的变化首先影响到另一个市场流动性,再通过流动性的变化影响到收益率的间接影响。不管是国债市场的流动性补偿作用,还是企业债市场流动性的跨市场作用,均主要源于非预期流动性的影响,预期流动性的影响作用则相对微弱。特别地,2004年4月,人民银行提高金融机构准备金率并实行差别准备金制度后,国债市场价格冲击系数显著增加、流动性显著下降,在中国债券市场本身流动性较差、市场参与者较少的情况下,流动性进一步下降后,投资者对债券的流动性关注可能进一步降低,从而可能使得流动性的补偿作用变得不显著。
最后,本文通过分析不同流动性的债券之间定单流信息含量的差异,对中国国债和企业债两个市场价格发现效率差异等问题进行了检验。研究结论发现,债券流动性将显著影响定单流的信息含量,流动性越好的债券,价格发现效率越高、定单流的信息含量越强;其中,交易最活跃、流动性最高的7年期和10年期国债的价格发现效率最高,其定单流不仅影响国债市场收益率,也将影响企业债市场收益率,控制了这两类国债定单流的影响后,其它国债和企业债的定单流对市场收益率的影响均不显著;国债和企业债市场之间的收益率和定单流都存在显著的领先滞后关系,国债市场具有“传递作用”,影响债券市场的共同因素将首先反应在国债市场上,然后通过国债市场传递到企业债市场;控制了定单流和收益率的领先滞后关系后,国债市场定单流与企业债市场收益率呈显著负相关关系,中国企业债与国债市场之间也存在显著的跨市场投资转移(Fight)的证据。
Capital market liquidity has become a hot research topic in market microstructure in recent years, and associating market microstructure with classical finance (e.g., asset pricing, risk management) opens a new filed in microstructure researches. While most of related studies focus on stock markets, liquidity in bond markets has attracted more and more attention. In particular, the default event of Russian Treasury bonds in 1998 gave people more deeply learnings on bond market liquidity. This thesis, based on the special features of the Chinese bond markets, uses the theories of market microstructure, asset pricing, risk management, investment portfolios and the methods of financial market econometrics to deeply analyze the liquidity on the Chinese bond markets (in the Shanghai and Zhenzhen exchanges).
First, this thesis discusses the relationships of bond pricing and the factors that associated with bond liquidity, including bond issued volume, age, term, coupon, volatility of yields, duration, convexity, year to maturity, and yield to maturity, to indirectly test the pricing effects of liquidity on the Chinese bond market. Results show that, after controlling for factors of credit and interest rates, these liquidity-related factors have insignificant and instable effects on bond pricing. The investigations on the relationship between these factors and interest rate risk, credit risk and liquidity risk show that more of these factors are associated with one of the three types of risk and thus affect bond pricing. However, they are mostly associated with bond credit risks. Particularly, in the Chinese enterprise bond market, the effects of liquidity risk on bond pricing are much weaker than that of interest rate and credit risks.
Second, this thesis discussed the reason for insignificant effects of bond market liquidity on market returns from the viewpoint of flight-to-liquidity. This thesis constructs bond portfolios according to bond liquidity, and discusses within-market flight-to-liquidity respectively on the Chinese enterprise and Treasury bond markets by investigating returns correlations and liquidity premium difference between theses bond portfolios with different liquidity. Furthermore, this thesis also discussed cross-market flight-to-liquidity between the markets. Results show that within-market flight-to-liquidity between bonds with different liquidity exists on both the Treasury and enterprise bond markets. Investors will transfer their funds to bonds with higher liquidity when they observe a decline in the liquidity of their bonds. Flight-to-liquidity further increases the liquidity of high-liquidity bonds and reduces their liquidity risk. In the flight, investors tent to select bonds with higher issued volume, on-the-run, longer term, high coupon, lower volatility, and higher yield-to-maturity. After controlling for interest rate and credit risks, flight-to-liquidity between the Treasury and enterprise bond markets is insignificant.
Third, the issued that whether there are cross-market effects of liquidity on returns or the reason for such a cross-market effect has not been clearly examined. This thesis investigates the cross-market effects of liquidity bond returns between the Treasury and enterprise bond markets and the reason and system of such a cross-market effect. Moreover, the relationship between macro-liquidity (monetary liquidity) and micro-liquidity (market liquidity) has been examined. Results show that there are significant effects of enterprise bond market liquidity on Treasury bond returns. The higher the price impacts (lower liquidity) on the enterprise bond market, the lower the returns on the Treasury bond market. Such a cross-market effect comes from the effects of common factors but not flight-to-liquidity between the two markets. In terms of the dynamics of the effects of common factors, liquidity on one market may directly affect returns on another market, or, indirectly, liquidity on one market affect liquidity on another market and then returns on the latter market may be affected by the change of its own liquidity. Both the within-market effects of liquidity on the Treasury bond market and the cross-market effects of enterprise bond market liquidity on Treasury bond market returns, the effects of unexpected liquidity dominate that of expected liquidity. In particular, the central bank increases the reserve preparation ratio and uses differentiating reserve system, the price impact coefficients rises and liquidity falls significantly. In the case of the Chinese bond market which has relatively low liquidity and no so many investors, the fall in liquidity may further reduce the attention of investors on liquidity, and reduce the premium effects of liquidity to be insignificant.
Finally, this thesis discusses the difference in the information content of order flow between bonds with different liquidity, and examines the differences in price discovery on the Treasury and enterprise bond market and cross-market flight. Results show that bond liquidity may significantly affect the information content of order flow. Bonds with higher liquidity may have higher information content of order flow and higher efficiency of price discovery. The mostly-active traded 7-year and 10-year bonds have the highest efficiency of price discovery. Their order flow not only affects the Treasury bond market returns, but also the enterprise bond market returns. After controlling for the effects of order flow on these two types of bonds, order flow for all other bonds is insignificant. There is significant lead-lag relationship for both returns and order flow between the two bond markets. There is a channel effect of the Treasury bond market. That is, the effects of common factors may firstly affect the Treasury bond market, and through the channel effect of the Treasury bond market, the effects of common factors will be transferred to the enterprise bond market. After the effects of such lead-lag relationships are controlled, there is a insignificant relationship between the order flow on the Treasury bond market and returns on the enterprise bond market, and evidence of flight between the two bond markets is also found.
引文
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[43] Hasbrouck J. Trading costs and returns for US equities: Estimating effective costs from daily data. Stern school of Business, New York University, working paper, 2006.
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[46] Liu W. A liquidity-augmented capital asset pricing model. Journal of Financial Economics,2006, 82: 631-671
[47]李新.中国国债市场流动性分析.金融研究, 2001(3): 116-121.
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[52]胡永青.中国企业债券市场流动性分析.经济纵横, 2002(9): 14-16.
[53]瞿强.国债市场流动性研究.金融研究, 2001(6): 75-83.
[54]王凯.银行间债券市场流动性探析.金融时报, 2000, 9月30日第10版.
[55]朱闺龙.信贷市场、货币市场与资本市场资金流动性分析.新金融, 2003(2): 10-13.
[56]殷克东,安丰东,丁黎黎.银行间债券市场的流动性问题分析与对策.财经科学, 2003(5): 286-288.
[57]袁东.交易所债券市场与银行间债券市场波动性比较.世界经济, 2004(5): 63-80.
[58]邵玲.我国银行间债券市场与交易所债券市场比较研究.厦门大学硕士论文, 2006.
[59]黄丹.中国银行间债券市场发展为场外市场的问题研究.西南财经大学硕士论文, 2007.
[60]董乐.银行间债券市场流动性溢价问题研究.运筹与管理, 2007(4): 79-88
[61] Goyenko, R., 2006, Stock and bond pricing with liquidity risk. Working paper, Indiana University.
[62] Chordia T, Roll R, Subrahmanyam A. Commonality in liquidity. Journal of Financial Economics, 2000, 56: 3-28.
[63] Hasbrouck J, Seppi D. Common factors in prices, order flows and liquidity. Journal of Financial Economics, 2001, 59, 381-411.
[64] Harford J, Kaul A. Correlated order flow: Pervasiveness, sources, and pricing effects. Journal of Financial and Quantitative Analysis, 2005, 40: 29-55.
[65] Fleming M. Measuring Treasury market liquidity. FRBNY Economic Policy Review, 2003, Sep. 83-107
[66] Chordia T, Sarkar A, Subrahmanyam A. An empirical analysis of stock and bond market liquidity. Review of Financial Studies, 2005, 18(1): 85-129
[67]郭泓,武康平.上交所国债市场流动性溢价分析.财经科学, 2006, 217(4): 23-29.
[68]郭泓,杨之曙.国债市场新券和旧券流动性实证研究.证券市场导报, 2006(2): 62-68
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[70] Caballero R, Krishnamurthy A. Collective risk management in a flight to quality episode. The Journal of Finance, 2009, forthcoming.
[71] Li X, Zou L. How do policy and information shocks impact co-movements of China’s T-bond and stock markets? Journal of Banking & Finance, 2008, 32: 347-359.
[72] Baur, D, Lucey, B. Flights and contagion-An empirical analysis of stock-bond correlations. Journal of Financial Stability, 2009, forthcoming, doi,10.1016/j.jfs.2008.08.001.
[73]黄峰,杨朝军.流动性风险与资产定价:来自我国股市的经验证据.管理世界, 2007(5): 30-48.
[74] Chordia T., and B. Swaminathan Trading volume and cross-autocorrelations in stock returns. Journal of Finance, 2000, 55: 913-935.
[75] Bailey, W, Can, J, Cheung, Y., Wang, F. Stock returns, order imbalances, and commonality, Evidence on individual, and proprietary investors in China. Journal of Banking and Finance, 2009, forthcoming.
[76] Goyenko R, Subrahmanyam A, Ukhov A. The term structure of bond market liquidity. SSRN working paper, 2008.
[77] Downing C., S. Underwood, and Y. Xing, The relative informational efficiency of stocks and bonds: An intraday analysis. Working paper, Rice University, 2007.
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[80]林海,郑振龙.中国违约风险溢酬研究.证券市场导报, 2003(6): 41-44
[81] Fisher L. Determinates of the risk premiums on corporate bonds. Journal of Political Economy, 1959, 67: 217-237
[82] Alexander G., Edwards A, Ferri M. The determinants of trading volume of high-yield corporate bonds. Journal of Financial Markets, 2000, 3: 177-204.
[83] Crabbe L. and Turner C. Does the liquidity of a debt issue increase with its size? Evidence from the corporate bond and medium-term note markets. Journal of Finance, 1995, 50(5): 1719-1734.
[84] Sarig O, Warga A. Bond price data and bond market liquidity. Journal of Financial and Quantitative Analysis, 1989, 24: 367-378.
[85] Amihud Y, Mendelson H. Liquidity, maturity, and the yields on US Treasury securities. Journal of Finance, 1991, 46(4): 1411-1425
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[89] Amihud Y, Mendelson H. Asset pricing and the bid-ask spread. Journal of Financial Economics, 1986, 17: 223-249.
[90] Hahn J, Lee H. Yield spreads as alternative risk factors for size and book-to-market. Journal of financial and quantitative analysis, 2006, 41(2): 245-269.
[91]谭地军,田益祥,黄文光.中国企业债券流动性及其定价.中国金融评论, 2007(4): 43-66.
[92] Chordia T, Huh S, Subrahmanyam A. The cross-section of expected trading activities. Review of Financial Studies, 2007, 20: 809-740.
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