金融硕士答辩ppt

ResearchonChina’sBondMarketSegmentation:

EvidencefromtheInter-bankMarketandExchangeMarketIntroductionLiteratureReviewTestformarketsegmentationDeterminantsofmarketsegmentationConclusionsOutline1.IntroductionDevelopmentofChina’sbondmarketFigure1.T-bondsHoldingStructurein20141988

Formationofsecondarymarket1990

Start-upofShanghaiExchange1997

EstablishmentoftheInterbankmarketPresent

ThreesubmarketsFigure2.BondDistributionvolume(bymarket)1.IntroductionMotivationExchangemarketInter-bankmarket“Samebondbutdifferentprices”QuestionsWhethermarketsegmentationexists？TestforexistenceWhy

marketsegmentationexists？Findoutdeterminants1.IntroductionKeyfindingsContributionsBondmarketsegmentationMarketlevel:ExistenceMicrolevel:Determinants4Possibledeterminants1subject2levels4hypothesesExistence?Yes,exchangemarkethashigherpricediscoveryefficiency.Determinants?MarketriskdifferenceDemanddifferenceRiskpreferencedifferenceLiquiditydifferenceisnotsignificant.2.LiteratureReviewDefinitionTestBondmarketInformationflow.(Xu,2014)StockmarketInformationflow.(Soydemir,2000)Risksource(Arouri,2013)DeterminantsStockmarketAsymmetricinformation(Chung,2013)Riskpreferencedifference(Chen,2001)Liquiditydifference(Teulon,2014)Demanddifference(Karolyi,2004)Systematicriskdifference(Zheng,2003)EmpiricalstudyInvestorsandbondissuerscannotfreelytransferfundsbetweendifferentmarketswithoutcosts.(Culbertson,1957)Differentpricesforassetswithsimilarriskcharacteristicsindifferentmarkets.(Saudagaran,1988;Stulzetal,1995;Kearney,2004)3.TestformarketsegmentationIntegration：Two-wayGrangercausalityrelationshipSegmentation：NoGrangercausalityrelationshipPartialsegmentation：Lead-lagrelationshipHypothesis1:China’sbondmarketissegmented.Threescenarios(Chan,1992;Luoetal,2005):HypothesisVariablesSample&ModelSample:158samplepoints(Feb,2002~Mar,2015),monthlydata.Datasource:Winddatabase.Model:VAR(VectorAutoregressivemodel)3.TestformarketsegmentationVariableNameReasonRIBYieldsofChinaBondInter-bankTreasuryBondWealthIndexTimespan:EarliestandmostwidelyusedComposition:TakesinterestandreinvestedearningsintoaccountRSHYieldsofChinaBondExchangeTreasuryBondWealthIndexControlsStockmarketreturn,M2,Industrialproduction,CPIProvedtoaffectthetwobondsubmarket.ResultsGrangercausalitytest3.TestformarketsegmentationNullHypothesisFstatisticsProb.RSHdoesn’tGrangercauseRIB3.414590.0191RIBdoesn’tGrangercauseRSH1.123410.3416ImpulseresponsefunctionanalysisLead-lagrelationshipRSHGrangercauseRIBHypothesis1holdsExchangemarkethashigherprice-discoveryefficiency.DifferentpricingmechanismsConclusion1:Conclusion2:HypothesisHypothesis2:Marketinterestrateriskdifferenceisnegativelyrelatedtobondpricedifference.Hypothesis3:Liquiditydifferenceispositivelyrelatedtobondpricedifference.4.DeterminantsofmarketsegmentationRiskdifferenceMarketinterestrateriskdifferenceLiquidityriskdifferenceMarketsegmentationPricedifference(-)Animportantpricingfactorofhigh-ratingbonds.(Fama,&French,1993)Liquiditydifference(-)(-)Importantforbondpricing.(Amihud,1991;Li,2009)(+)DifferentinvestorstructureInter-bankmarket:ProfessionalinvestmentinstitutionsExchangemarket:Individual,small-andmedium-sizeinstitutionalinvestorsRiskpreference:sophisticated,professional,long-termstablereturns.(Cohen,2002;Bohl,2004)Riskpreference:over-reacting,“noise”trading,short-termreturns.(Black,1986;Barber,2008)Demand:investingrestrictions.(Sun,2000;Karolyi,2002)RiskaverseInelasticdemandRisk-takingDemand:moreinvestmentalternatives.(Sun,2000;Karolyi,2002)Elasticdemand4.DeterminantsofmarketsegmentationHypothesis4:Riskpreferencedifferenceispositivelyrelatedtobondpricedifference.Hypothesis5:Demanddifferenceispositivelyrelatedtobondpricedifference.Dependentvariabledp:Pricedifferencep:monthlyaveragepricesofcross-marketT-bonds.IndependentVariablesdterm:MarketInterestrateriskdifferenceterm:differenceoflong-andshort-termT-bondsreturns.(Fama,&French,1993)dliq:Liquiditydifferenceliq:Amivestliquidityratio.Widelyused.(Berkman,1998;Cremersetal,2010)dvol:Riskpreferencedifferencevol:volatilityofprices.Volatilitycanrepresentspeculation.demand:DemanddifferencedemandIB:#ofmembersininter-bankmarket.Song(2014)4.DeterminantsofmarketsegmentationVariablesSample129T-bondstradedbothintheinterbankmarketandexchangemarket14monthsfromJan,2014toFeb,2015FromWinddatabaseRegressionMethodsFixedEffectModelStrongFEeffectbyHausmantest.AmendmentforheterogeneityandautocorrelationbyHuber-White(1980).GMMmodelRobustnesscheck.ModelExp.sign:(-)(+)(+)(+)4.DeterminantsofmarketsegmentationRisksourcedifferenceInvestorstructuredifference

Exp.sign(1)(2)(3)(4)

dpdpdpdpdemand+144.0***128.1***120.7***120.7***

(11.88)(12.97)(13.68)(13.65)dterm-

-1.43***-1.78***-1.78***

(-5.69)(-5.28)(-5.27)dvol+

1.05***1.05***

(4.85)(4.84)dliq+

-0.0000419

(-0.02)_cons379.2***337.7***318.9***319.0***

(11.95)(13.05)(13.78)(13.75)WithinR20.43390.43890.45500.4550BetweenR20.16100.16100.16120.1615OverallR20.21240.21490.17110.1710F-statistics141.19***103.62***130.04***97.60***N1806180618061806FEmodelResultsNote:tstatisticsinparentheses,*p<0.10,**p<0.05,***p<0.014.DeterminantsofmarketsegmentationGMMmodelResultsNote:tstatisticsinparentheses,*p<0.10,**p<0.05,***p<0.014.Determinantsofmarketsegmentation

Exp.sign(1)(2)(3)(4)

dpdpdpdpl.dp+0.896***0.866***0.908***0.908***

(95.40)(92.39)(121.33)(123.11)demand+24.11***23.87***8.63***9.39***

(7.71)(7.61)(3.95)(4.25)dterm-

-0.180***-