| The market efficiency this paper focused is system evalued maret efficiency; the thesis aims to explore the inner and external factors that influence the market efficiency from the point view of asset pricing. From the angel of information efficiency and asset pricing, mechanism efficiency and asset pricing, allocation efficiency and asset pricing, explore a set of valued criterion that co insistent with the character of bond market, development phases of financial bond market.After ten years of rapid development, the interbank bond market has experienced a revolution time of variety and mechanism, and became the largest capital market of china; further more, as the credit bond market walked into the market oriented road. The scale of credit bond market has amounted to 158billion in the latter of 2010, which is far more than stock market and just fall behind of commercial bank loan. All this data shows that the disequilibrium of bond market and stock market has changed, and the financial bond market has become into the phase of "intension". But contrasted with developed market, the bond market still can’t play a basic role in allocating resources and can’t meet the needs of economic; the proportion of bond financing still relatively low in corporate finance and the market constraint mechanism is not fully established, the market price is still not fully reflect the credit risk of issuers. All such deficiency caused the real price deviate from the theoretic price. The distortion of price affects capital flows among different markets, and then weakens the overall validity of the bond market. In this context, "speed up the development of bond market reform" have been included in the 15 major issues of the forthcoming national financial work conference.The existing research on domestic bond market efficiency, which is always based on "Efficient Market Hypothesis", determines the level of market efficiency under the impact of information changes on bond prices. "Efficient Market Hypothesis" gives a scientific answer to the classification standards of the securities market.It provides the testing standard and method on the cognition of securities market efficiency. However, the hypothesis likely makes the evaluation theory of bond market efficiency unsystematic and causes unicity of the evaluating indicator. What’s more, "Efficient Market Hypothesis" did not study the factors that drive the bond prices. Therefore, it is never able to reflect the mechanism of current bond market and the influence on bond prices truly. The bond market has its own operating characteristics, which is compatible with the product features. market structure and the stage of development. It is reflected that different risk factors have different effect on the bond spread. This prompts us to look on China’s interbank bond market efficiency within the framework of asset pricing. How do we evaluate China’s interbank bond market efficiency? What are the factors that drive the changes in bond prices? What are the factors that limit the efficiency of the bond market? The consideration of these issues is the original source of this paper’s thought and basic framework.We believe that the most direct indicators to measure the maturity of the market is pricing efficiency, that is the level of actual price closing to the perfect market price. By looking for the drivers of change in bond prices, we can reveal the degree of market efficiency. There is no doubt that it is the most comprehensive approach to understand the efficiency of the bond market objectively. From the product features and the investors’ structural characteristics in China’s inter-bank bond market, we believe that we need to consider the following three elements measuring the efficiency of bond markets:First, we should consider if changes in bond prices could reflect timely changes in the macroeconomic. That is the efficiency of information. Second, we should consider whether the bond trading could be made timely and effectively. That is operating efficiency. Third, we should consider whether changes in bond market prices could guide the allocation of financial resources timely. That is allocative efficiency. This paper makes the following arrangements around the three core issues:Chapter 2, evaluation of market efficiency and optimal path theory, this chapter divides market efficiency into operational efficiency, information efficiency, pricing efficiency and allocative efficiency creatively from the perspective of the market on the basis of sorting out the domestic and foreign literature. In the relationship between operational efficiency, information efficiency, pricing efficiency and allocative efficiency, operating efficiency is the underlying factor which is influential to the information efficiency and pricing efficiency, it also determines the formation mechanism of capital cost. Information efficiency which means the influence to the stock price given by the information diversification of financial asset p rice, is the most direct standard of measuring the market efficiency. Pricing efficiency is embodied and comprehensive reflection of operating efficiency and information efficiency, is the basic factor of determing the resource allocation efficiency; Allocative efficiency is the economic consequence of pricing efficiency and the reflection of the market function realization degree. In view of pricing efficiency is always running through the financial market and is the core content of linking up operational efficiency, information efficiency and allocative efficiency, this paper proposes to evaluate the efficiency of Chinese Inter-bank market from three angles which are operating efficiency and asset pricing, information efficiency and asset pricing, asset pricing and allocation efficiency, thus it will establish the basic research framework of the full text.Chapter 3, the rerview of credit bond market. This chapter summarizes the current credit bond market characteristics and compares the main credit bond from the following aspects:size, distribution period, issuers, credit rating, yield to matrurity, market management system. The rapid development of credit debt products not only improve the structure of bond risk, and because of the full respect for the enterprise’s market dominant position, it establishs a market-based constraint mechanism on the basis of information disclosure, effective credit rating system and risk-sharing mechanism, and the inter-bank bond market obtains a rare opportunity for endogenous development.Chapter 4, Benchmark rate and credit bond pricing. The commercial paper is believed to be the first recognized credit debt products, which has developed into the largest issues in the inter-bank bond market and also an important indicator of market development. Commercial paper is the research sample of efficiency and asset, operating efficiency and asset pricing. The benchmark rate is a basically factor of credit bond pricing. This paper take the Granger causality methods to analyze the lead-lag relationship between SHIBOR and the yield of Center Bank Bills(CBB), and find that the yield of CBB is the Granger causality factor of SHIBOR, which means that the yield of CBB is more suitable for benchmark rate.Chapter 5, Credit risk is the essence characteristic of the corporate bond, and also the determinant of yield spreads, upon which the "efficient market hypothesis" can be judged. This paper check the influence of market risk, credit risk and liquidity risk on yield spreads of commercial paper (CP) through spread decomposing methods. The analysis show that the yield spreads of CP with the same credit grade would take on the same trend, and would exhibition difference robustly across different grade, which means credit quality is the very important determinant of spreads. Somewhat surprisingly, yield spreads are influenced mostly by market risk even for the high grade CP; in addition, liquidity risk premium is negative which means the market is less liquidity, which means the internal inefficiency constraint the integral market efficiency.The research of chapter 5 indicates that the market risk is the prime factor causing the spread of commercial paper. In the operation of real market, the revenue of stock market, fluctuation ratio, supply of money, and consumer pricing index can also cause the market risk and influence the price of the bond. This chapter will do research on these factors to insure the integrity of the study. The result of the research indicates:(1) the change of basic interest rate, the change of the year-on-year growth rate of M2 and CPI, the change of the return rate of stock index and the fluctuation ratio of stock index return rate have a cointegration relationship; (2) The change rate of market portfolio premium is the Granger cause of the change rate of stock index, and the elasticity of them is 1.98; (3) The change of the basic interest rate of marketChapter7, Allocative efficiency and asset pricing. As the integration of financial market, the depend structure of stock market and bond market reflects direction and extent of system risk; On the other hand, stability is the primary principle of market, is also an important measure of effectiveness of financial regulation standards. Therefore, it needs to take into the account of the above factors to measure the efficiency of market.This paper survey the dependence structures across stock and bond markets, the analysis show that their exist seesaw effect across stock and inter-bank bond markets, which strengthened during the period of Jun.7 of 2006 and otc.16 of 2007. If the volatility of stock market exceeds the threshold, the dependence structure would evolve to co-movement. Seesaw effect avoids the co-crash of financial system, which strengthened the tolerance of system risk and would favorite for financial stability. Co-movement effects require the trimming conduct of monetary policy.Chapter8,put forward some countermeasures to improve the efficiency of credit market on the basis of former analyses.based on the three aspect of asset pricing efficiency,which including information efficiency and asset pricing,operating efficiency and asset pricing, allocative efficiency and aeest efficiency,we can judge the integral efficiency,consequently provided directional reference for credit bond efficiency.This paper is based on a framework of system research. We divided the market efficiency into four levels --information efficiency, operating efficiency, pricing efficiency and allocation efficiency. We separately studied information efficiency and asset pricing, operating efficiency and asset pricing, allocation efficiency and asset pricing. Besides that, we formed an overall understanding of the efficiency of the interbank bond market. It is worth emphasizing that this paper is based on the research approach of normative economics and objective measure theory. We used the systematic data of our country to do empirical analysis. We intended to measure the efficiency of the bond market between banks under the framework of asset pricing theory and efficiency theory. Finally we wish to promote to improve the efficiency of the market between banks.In my opinion, this paper has some research characteristics in the following:first of all, we formed the comprehensive evaluation system of the interbank bond market efficiency based on the information efficiency, operation efficiency, pricing efficiency and scale efficiency. We also quantitative evaluated the three aspects and comprehensive performance of our country’s public service area. Second of all, we didn’t study the information simply. However, we positioned this paper on the problem of the market efficiency between banks from the angle of asset pricing. Third of all, we first proposed the three factors model about credit bond pricing. The last of all, along with the studying of the allocation efficiency, we considered the factor of financial supervision. In other words, we measured the market efficiency from keeping liquidity and stability of financial market. not only from efficiency to efficiency. |
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