【作者】 王艳；

【导师】 严弘；

【作者基本信息】 上海交通大学 ， 高级工商管理（EMBA）（专业学位）， 2018， 硕士

【摘要】 做市商制度是推动债券市场发展的重要制度,虽然我国在2001年就初步建立起了债券市场做市商制度,但受债券市场自身发展深度不够所限,我国债券市场做市商制度始终不够健全,深入分析我国债券市场做市商制度的运作状况,不断完善我国债券市场做市商制度对于推动我国债券市场更好地发展具有重要意义。本文深入分析了美国债券市场做市商制度与我国债券市场做市商制度的基本构成、运作过程和配套机制,经过比较分析,得出我国债券市场做市商制度存在着四个主要问题:一是,没有形成基于做市商的分层交易机制;二是,做市商的权利和义务不匹配;三是,做市商流动性支撑和价格发现功能发挥不充分;四是,缺乏有效的做市避险工具。本文构建出宽度和深度结合的流动性衡量指标和实证模型,运用近期银行间债券市场的做市商双边报价数据和交易行情数据分析了做市商制度下我国银行间债券市场的具体流动性状况,结果发现:总体来讲做市商的做市能够显著提升债券的流动性;对于做市占比较高的利率债来讲,做市的竞争程度越强,债券的流动性越大,这显示出竞争性做市商制度能够更好地提升我国债券市场的流动性;对同业存单的做市也能够显著提升同业存单的流动性;企业债券等其他信用债由于做市占比低,做市商的做市没能显著提升其流动性。本文还分析了某城商行债券做市的实践状况,以更为微观的视角反映出我国债券市场的做市状况。最后,本文针对我国债券市场做市商制度实践过程中存在的问题提出了完善我国债券市场做市商制度的政策建议。更多还原

【Abstract】 A functional and efficient market-making system is important for developing the bond market.Although the market-making system in China’s bond market was initially established in 2001,it is still imperfect because the depth of the bond market development is not enough for a long time.Doing deep analysis of the operation status of the market-making system of China’s bond market and improving this system is very important to make China’s bond market into better development.This paper deeply analyzes the basic composition,operation process and supporting mechanism of American bond market-making system and China’s bond market-making system,through the comparative analysis,it is concluded that there are four main problems of China’s bond market-making system: first,there is no layered trading mechanism based on market makers;second,the rights and obligations of market makers don’t match;third,the liquidity support function and price discovery function of market-makers are not in full force;forth,there is lack of effective market hedge tools.This paper also constructs an index combining the width and depth to measure the liquidity and an empirical model,uses the recent two-way quoting data of market makers and trading data in the interbank bond market to analyze the liquidity situation of China’s interbank bond market under the current market-making system.The results show that: in general the making market of market makers can significantly improve the liquidity of the bond market;for interest rate bonds which have high market making shares,the stronger degree of competition in market making,the greater liquidity of the bond,it shows that the competitive market-making system can better promote our China’s bond market liquidity;market making can also improve the liquidity of negotiable certificate of deposit;market making fails to significantly increase the liquidity of other debenture bonds such as corporate bond because of the low market making shares.This paper also analyzes the practical situation of market making of the Bank of Nanjing to reflect the market making situation of China’s bond market in a more micro perspective.Finally,this paper proposes some policy recommendations to improve China’s bond market-making system for the existing problems of the practice process of China’s bond market-making system.更多还原