【作者】 刘浩；

【导师】 徐龙炳；

【作者基本信息】 上海财经大学 ， 工商管理（专业学位）， 2020， 硕士

【摘要】 本文研究了我国债券市场结构存在的问题及有哪些优化的途径。我国债券市场结构问题本文从两个角度来分析:银行间和交易所两个债券市场共存的结构,和我国债券市场高度扁平化的问题,目的是为了从这两个角度分别提出对市场结构的优化建议。银行间和交易所两个债券市场的结构,在实际运行中存在问题需要解决,包括:多头监管问题、流动性问题、定价功能可用性不足问题、套利机制残缺问题以及基础设施成本问题。解决这些问题,需要首先对两个市场做比较分析。当前已有很多研究成果,但选择的角度较少,多数集中在交易机制比较方面,缺少其它影响因子的干扰评估,研究结果没有提出优化建议或者可用性不强。已有研究提出的方向,倾向于把优势从一个市场替换到另一个市场,或者寻求两个市场的统一。历史研究还存在一个问题是,两个市场创新不断推出,研究背景有所变化,原研究成果已经部分不适用。本文结合已有研究成果,和最新市场环境变化,寻求更多的角度来比较两个市场。包括两种交易机制的交易效率、价格发现、波动性、流动性、交易成本等,另外又增加了从市场参与主体、境外参与者、交易量、市场整体流动性、交易品种、衍生品市场、海外发行者及对经济变量的敏感性、宏观调控的传导性等方面的比较。同时又把市场新变化作为新增的影响因素,结合进以上各对比点,分别分析。在做了银行间交易所两个市场之间的比较基础上,又增加了银行间市场和纯场外市场的对比,以及我国债券市场和海外成熟市场的类比。各项比较总结出新的观点:银行间交易所两个债券市场结构,是多层次债券市场体系的一个分层维度,应该保留;同时由于银行间债券市场的重要性,需要重点建设。本文根据以上多项对比结果,及总结的观点为主导,从多个方面提出对市场结构优化建议:改革“五龙治水”的监管体系、改变流动性不足的状况、继续发展做市商制度、发展混合交易模式、大力发展电子化交易、增强市场的连通性等。我国债券市场结构优化问题的另外一个分析角度是:市场结构高度扁平化。建设我国多层次资本市场体系是上世纪九十年代末提出,后来学者一直对此研究,政府也是把建成多层次资本市场作为重要任务之一。多层次资本市场是由于融资者的多层次和投资者的多层次结构所需。资本市场的主要功能是配置社会资本,追寻一个目标即效率最佳。为达到这个目标,需要融资者和投资者做到匹配。融资者角度,融资企业发展阶段、规模、行业、融资期限等各有不同,融资需求也各不相同。投资者方面,资金数额、信息处理能力、投资心理、风险偏好、承受能力、投资取向、资金期限等方面各有特性,投资需求也各有不同。所以需要一个多层次资本市场来完成匹配。债券市场属于资本市场的一部分,也有分层次的需求。已有对发展多层次资本市场体系,包括理论的提出,包括实践过程中的各项研究,绝大部分是围绕着股权市场进行。本研究补充了多层次资本市场债券市场部分的理论。债券市场的多层次,除了以投资者和融资者维度来区分,还有根据债券类型、发行机制、交易机制等多个维度进行分层。我国当前债券市场的结构是非常扁平化的。交易所市场,大型机构和个人投资者在同一个竞价平台交易。银行间市场,采用会员制,做市机构和其它普通投资机构在同一个市场自由询价,在同一个平台达成交易,做市商只是作为一个普通参与者,进行双边报价的义务。市场中没有D2D和D2C的区分,在这样机构预期高度一致、又无额外制度性补偿的市场中,做市商仅有义务没有盈利点,做市商积极性低,没有充分发挥做市商制度的优势。对比美国债券市场结构,已经做到相当立体和有效。根据多层次债券市场理论,结合债券特有的分层维度,不限于从交易市场分层方面,本文提出了多项优化建议,包括:允许不同市场不同规则的存在、银行间交易所市场分层是多层次市场的一个体现、深化做市商制度、扩充交易品种分层、扩充信用分层、鼓励固定收益对客业务、发展纯场外市场、发展国际化等。本文创新性的把银行间交易所两个市场结构问题,和多层次资本市场体系做了结合研究。最后本文还总结性提出需要注意的原则,即避免运用行政标准规范多层次资本市场体系的发展,应因势利导,不做过度干预,为市场提供一个良性竞争的外部环境。更多还原

【Abstract】 The purpose of this paper is to study the problems existing in China’s bond market structure and its optimization methods.This article analyzes "the structure of China’s bond market" from two perspectives: the structure of the coexistence of the two bond markets in the interbank market and the exchange market,and the highly flattened problem of China’s bond market.Suggestions for market structure optimization.There are problems in the structure of the interbank and exchange bond markets that need to be resolved,including: long regulatory issues,liquidity issues,insufficient pricing function availability,inadequate arbitrage mechanisms,and infrastructure cost issues.To solve these problems,we need to make a comparative analysis of the two markets first.There are many research results,but there are few choices.Most of them focus on the comparison of trading mechanisms,lack of interference assessment of other influencing factors,and the research results do not propose optimization recommendations or are not strong in usability.The directions proposed by existing studies tend to replace advantages from one market to another,or seek the unification of two markets.Another problem with historical research is that two markets continue to introduce innovation.The research background has changed,and the original research results have been partially inapplicable.Combining existing research results and the latest market environment changes,this article seeks more perspectives to compare the two markets.Including two trading mechanisms: transaction efficiency,price discovery,volatility,liquidity,transaction costs,etc.In addition,comparisons have been added: market participants,overseas participants,transaction volume,overall market liquidity,trading varieties,derivatives markets,overseas issuers,sensitivity of economic variables,and conduct of macro-control.At the same time,the new changes in the market are taken as the new impact factors,combined with the above comparison points and analyzed separately.Based on the comparison between the inter-bank and exchange markets,it has added: the comparison between the inter-bank market and the over-the-counter market,and the analogy between China’s bond market and overseas mature markets.The above comparisons summarize new perspectives: the inter-bank and exchange bond market structures are a layered dimension of a multi-level bond market system and should be retained;meanwhile,due to the importance of the inter-bank bond market,key construction is needed.Based on the results of the above multiple comparisons and the summarized perspectives,this paper proposes suggestions for optimizing the market structure from multiple aspects: reforming the bullish regulatory system,changing the situation of insufficient liquidity,continuing to develop the market maker system,and developing mixed transactions Models,developing electronic transactions,and improving market connectivity.Another analysis perspective of the optimization of China’s bond market structure is that the market structure is highly flat.The establishment of a multi-level capital market system in China was proposed in the late 1990s.Later scholars have been studying this issue.The government also considers building a multi-level capital market as one of its important tasks.Multi-level capital markets are required due to the multi-level financing and multi-level investors.The main function of the capital market is to allocate social capital and pursue a goal that is the best efficiency.In order to achieve this goal,financing and investors need to be matched.From the perspective of the financier,the development stage,scale,industry,and financing period of financing enterprises are different,and financing needs are also different.From the perspective of investors,the amount of funds,information processing capabilities,investment psychology,risk appetite,affordability,investment orientation,and funding period are different,and investment needs are also different.Therefore,a multi-level capital market is needed to complete the matching.The bond market is part of the capital market,and there is also a hierarchical demand.There have been proposals for the development of a multi-level capital market system,including various studies in practice,most of which are directed at the equity market.This study complements the theory of the bond market component of multi-level capital markets.The multi-level of the bond market,in addition to being distinguished by the dimensions of investors and financiers,are also multi-level according to multiple dimensions such as bond types,issue mechanisms,and trading mechanisms.The structure of China’s current bond market is very flat.In the exchange market,large institutional and individual investors trade on the same bidding platform.In the interbank market,a membership system is adopted.Market makers and other ordinary investment institutions freely make inquiries in the same market and conclude transactions on the same platform.The market maker is only an ordinary participant and has the obligation to make bilateral quotes.There is no distinction between D2D and D2C in the market.In this market,institutional expectations are highly consistent without additional institutional compensation for market makers.The market maker only has the obligation and no profit point,the enthusiasm of the market maker is reduced,and the advantages of the market maker system are not fully utilized.The structure of the US bond market has been quite three-dimensional and effective.Based on the multi-level bond market theory and combining the unique layering dimensions of bonds,not only from the aspect of trading market layering,this article proposes a number of optimization suggestions,including: allowing the existence of different rules in different markets,interbank and exchange market layering It is a manifestation of a multi-level market,deepening the market maker system,expanding the layers of trading varieties,expanding the layers of credit,encouraging fixed income customer services,developing off-market markets,and developing internationalization.This article has creatively studied the market structure issues of the inter-bank and exchange,and the multi-level capital market system.Finally,this article also summarizes the issues that need attention: to avoid the use of administrative standards to regulate the development of the multi-level capital market system,should be guided by the situation,without excessive intervention,to provide a healthy external environment for the market.更多还原