制度规则、前提设定及至有效性比较:银行间与交易所债券市场

System Regulation, Precondition Supposed, and Market Effectiveness Compare: Inter-bank Bond Market and the Stock Exchange Bond Market

中国债券市场分为银行间债券市场和交易所债券市场,二者在发展程度、制度规则、交易主体、债券种类等方面存在较大差异,由此引致市场有效性的差别。运用游程检验、单位根检验、方差比检验等计量方法,对中国总体债券市场、中国银行间债券市场及中国交易所债券市场分别进行有效性检验,结果表明,中国债券市场已经达到弱式有效水平,但交易所市场的有效性略高于银行间市场。今后应积极推进债券市场的改革和创新,促进两个债券市场的统一,提高中国债券市场的整体运行效率。

The bond market in China separates into two parts： the inter-bank bond market and the stock exchange bond market. There are big differences in the development level, transaction rules, investors and bond types between these two bond markets, which would bring to the difference of the two market.The authors use several econometric models, such as Run-Length test, Unit-Root test and Variance-Ratio to test and analyze the effectiveness of the inter-bank bond market, the stock exchange bond market and the whole bond market in China, and the result shows that the two markets have achieved weak-form effectiveness and the stock exchange bond market is a little more efficient than the inter-bank bond market. In future, to enhance the general efficiency of bond market, innovation and reform of it should be promoted positively, and the unity of the two market should be made.