论文答辩材料

论文答辩材料

1、姓名、学号、联系方式

姓名：孙小丽

学号：300945

联系方式：

2、指导论文的导师和导师组成员名单

指导老师：马成虎老师

导师组成员：马成虎老师、林海老师、冼刍饶老师

3、the title and 2-page summary of your?MA thesis . The title and abstract should be in both Chinese and English (that is, Chinese title, followed by English title; Chinese and English names of student and main advisor, Chinese summary, followed by English summary).

基于公司债券市场的流动性指标比较

Comparison of Liquidity Measures based on Corporate Bond Market 孙小丽 Xiaoli Sun

指导教师姓名：马成虎教授 Chenghu Ma

Chinese summary

文章题为“基于公司债券市场的流动性指标比较”，以美国公司

债券市场交易数据为基础，运用平均相关性分析、债券组合分析和回归分析等方法对买卖价差（Bid-ask Spread）、零收益率百分比（Zero-return Percentage）、Amihud非流动性因子（Amihud Illiquidity Factor）等具有代表性的流动性指标进行实证分析，说明其对债券收益率价差的解释力度，从而评价不同流动性指标在公司债券市场上的表现。简言之，本文运用美国债券市场上的公司债券的交易数据评价了不同的流动性指标，评价标准是该指标对收益率价差的解释程度。

文章共分为六章：第一章是引言，简要介绍本文的研究选题、主要观点、结构安排与研究方法。作者认为，公司债券流动性的研究无论是对于学术界还是业界都具有深远的意义，并且关于不同流动性指标对于收益率价差的解释力度问题一直以来没有确定的结论。因此，作者选择此方向为研究课题。文章的第二章是文献综述，主要从流动性的测度指标、流动性影响因素、流动性因子与公司债券收益率价差之间的关系等几个方面对前人的研究进行综述。文章的第三章是关于实证方法和变量阐述。第四部分是数据和样本的描述。第五章主要是运用平均相关分析、债券组合和回归分析方法等做实证检验。第六章主要是说明了文章的缺陷以及进一步研究的方向。

通过分析论证，文章的结论为：流动性因子在影响公司债券收益率价差方面起到了重要的作用。不同流动性指标对收益率差的解释力度是显着不同的，在文章研究的流动性指标中，零收益率百分比最好。文章的创新处有三点：运用公司债券的现时交易数据；将Amihud非

流动性因子引入到公司债券市场流动性的研究；多种实证方法的应用——平均相关分析、债券组合方法以及回归分析。局限在于，在实证分析中采用混同OLS估计方法，没有考虑面板数据的固定效应和随机效应，这将是进一步研究的方向。

English summary

Employing a comprehensive database on transactions of corporate bonds issued by corporations, agencies and financial institutions, we compare the different liquidity measures for corporate bond—the bid-ask spread, the zero-return percentage, the Amihud illiquidity factor. The criteria of judging is based on the explanatory power of different liquidity measures in determining corporate bonds yield spread over the benchmark curve (equivalent-maturity Treasury bond or notes). It is found that liquidity plays a role in determining corporate bond yield spread and the different liquidity measures are found to have significant explanatory power. Our findings suggest that zero-return percentage is more powerful in explaining yield spread than other liquidity measures.

The structure of this thesis is organized as follows. Chapter 1 is the introduction of this study, including the meaning, the brief methods and the framework. Chapter 2 presents a review of existing studies on liquidity measures,

as well as the impact of liquidity on yield spread. Chapter 3 describes empirical methodology and details the variables used in this study. Chapter 4 explains in detail data and sample composition. Chapter 5 presents empirical results based on different liquidity measures and Chapter 6 concludes.

The innovations of this thesis lie in the data, which is the ticker by ticker data. And this study applies the Amihud illiquidity factor into the corporate bond market. The limitation is that the estimate procedure is pooled OLS, without considering the fixed effect and random effect in the panel data.