文档介绍：Research on China’s Bond Market Segmentation:
Evidence from the Inter-bank Market and Exchange Market
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Introduction
Literature Review
Test for market segmentation
Determinants of market segmentation
Conclusions
Outline
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1. Introduction
Development of China’s bond market
Figure -bonds Holding Structure in 2014
1988
Formation of secondary market
1990
Start-up of Shanghai Exchange
1997
Establishment of the Interbank market
Present
Three submarkets
Figure 2. Bond Distribution volume(by market)
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1. Introduction
Motivation
Exchange market
Inter-bank market
“Same bond but different prices”
Questions
Whether market segmentation exists？ Test for existence
Why market segmentation exists？ Find out determinants
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1. Introduction
Key findings
Contributions
Bond market segmentation
Market level:
Existence
Micro level:
Determinants
4 Possible determinants
1 subject
2 levels
4 hypotheses
Existence?
Yes, exchange market has higher price discovery efficiency.
Determinants?
Market risk difference
Demand difference
Risk preference difference
Liquidity difference is not significant.
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2. Literature Review
Definition
Empirical study
Investors and bond issuers cannot freely transfer funds between different markets without costs. (Culbertson, 1957)
Different prices for assets with similar risk characteristics in different markets. (Saudagaran, 1988; Stulz et al, 1995; Kearney, 2004)
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3. Test for market segmentation
Integration：
Two-way Granger causality relationship
Segmentation：
No Granger causality relationship
Partial segmentation：
Lead-lag relationship
Hypothesis 1: China’s bond market is segmented.
Three scenarios (Chan, 1992; Luo et al, 2005):
Hypothesis
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Variables
Sample & Model
Sample: 158 sample points(Feb, 2002~Mar, 2015), monthly data.
Data source: Wind database.
Model: VAR (Vector Autoregressive model)
3. Test for