中小企业债券的流动性问题探析——基于中小企业集合票据数据

在总结现有研究债券流动性文献的基础上,构建了针对中小企业债券这种流动性极差的债券流动性指标,并对常见的债券流动性影响因素进行了检验。实证结果显示,信用风险和投资者特征对中小企业债券流动性的影响在统计上显著。随后在实证的基础上又针对性地提出了政策建议,主要取向是弥合债券投资者风险偏好和中小企业债券所含信用风险的差距。具体措施包括降低有效信用风险、用衍生品对冲信用风险,以及引入高风险承受能力的投资者等。

On the basis of existing researches of bond liquidity, we developed liquidity indicator for SEM bonds, and tested some common affecting factors of bond liquidity. The empirical results show that credit risk of SME bonds and the characteristics of investors have statistically significant impacts on bonds＇ liquidity. We also proposed targeted policy recommendations on these affecting factors. The main orientation of our commendations is bridging the gap between bond investors risk prefer- ence and credit risk of SME bonds. The measures included reducing the effective credit risks, use derivatives to hedge credit risks, and introduce investors with high -risk tolerance.