中国债券市场利差过度反应实证研究

Empirical study on the behaviour of the spread overreaction in Chinese bond market

应用利差过度反应假设的回归系数、标准差比率及协方差实证检验方法对我国债券市场的利差过度反应现象进行了实证研究.结果表明:我国债券市场在短期和长期水平基本符合利率期限结构理论,不存在利差过度反应现象;而在5年期左右的中期水平上存在一定程度的过度反应现象.决策层应加大超短期和超长期券种的发行量,为投资者提供更多的资产匹配工具.

The behaviour of the spread overreaction in the Chinese bond market is empirically investigated by using the method of correlation between actual and theoretical spreads and the ratio of standard deviations. Results show that the behaviour of the spread overreaction in the Chinese bond market agrees with the expectation theory of the term structure in short-term and long-term, but the spread overreaction exists in the Chinese bond market in middle-term.