中国国债市场：外资与市场效率

Q2 Economics, Econometrics and Finance

Global Journal of Emerging Market Economies Pub Date : 2022-01-01 DOI:10.1177/09749101211070954

Kerry Liu

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引用次数: 2

摘要

中国债券市场是世界第二大市场，政府债券占据了市场的大部分。自2015年以来，中国政府一直在逐步向外国投资者开放债券市场。然而，对中国债券市场的研究却很少。基于2015年和2019年最频繁交易的政府债券数据，包括Ken-tau检验和方差比检验在内的统计检验表明，尽管2015年中国政府债券市场总体效率不高，但2019年效率显著提高。市场效率的变化可能来自于外国投资的增加，从而使中国政府债券的投资者基础更加多样化。一些结构性问题仍然存在，如衍生品市场不成熟、商业银行市场化程度低以及对外国投资者的限制。最后，本研究讨论了对投资者、政策制定者和学者的影响。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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The Chinese Government Bond Markets: Foreign Investments and Market Efficiency

The Chinese bond market is the world’s second largest, with government bonds accounting for the majority of the market. The Chinese government has been gradually opening up its bond markets to foreign investors since 2015. However, studies on the Chinese bond markets are very few. Based on data of most frequently traded government bonds in 2015 and 2019, statistical tests including Ken-tau tests and variance ratio tests show that while Chinese government bond markets were generally not efficient in 2015, the efficiency has significantly improved in 2019. The change of market efficiency is likely from the increasing foreign investments, thus a more diverse investor base of the Chinese government bonds. Some structural issues remain such as immature derivative market, low marketization of commercial banks, and restrictions to foreign investors. Finally, this study discusses the implications for investors, policymakers and academics.

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来源期刊

Global Journal of Emerging Market Economies Economics, Econometrics and Finance-Economics, Econometrics and Finance (miscellaneous)

CiteScore

2.70

自引率

0.00%

发文量

期刊介绍： Global Journal of Emerging Market Economies is a peer-reviewed journal. The aim of the journal is to provide an international platform for knowledge sharing, discussion and networking on the various aspects related to emerging market economies through publications of original research. It aims to make available basic reference material for policy-makers, business executives and researchers interested in issues of fundamental importance to the economic prospects and performance of emerging market economies. The topics for discussion are related to the following general categories: D. Microeconomics E. Macroeconomics and Monetary Economics F. International Economics G. Financial Economics H. Public Economics I. Health, Education, and Welfare J. Labor and Demographic Economics L. Industrial Organization O. Economic Development, Innovation, Technological Change, and Growth Q. Agricultural and Natural Resource Economics • Environmental and Ecological Economics R. Urban, Rural, Regional, Real Estate, and Transportation Economics Additionally, the journal would be most interested to publish topics related to Global Financial Crisis and the Impact on Emerging Market Economies Economic Development and Inclusive Growth Climate Change and Energy Infrastructure Development and Public Private Partnerships Capital Flows to and from Emerging Market Economies Regional Cooperation Trade and Investment and Development of National and Regional Financial Markets The Belt and Road Initiative.