散户投资者如何影响债券价格？--基于交易所同一只信用债的价格差分析

How do Retail Investors Affect Credit Bond Pricing:Analysis on the Two Prices of the Same Bond

交易所债券市场存在竞价交易和大宗交易两种方式,由于交易门槛限制,散户投资者只能参与竞价交易。本文考察同一只信用债、同一天在两种交易方式下的价格差,以识别散户投资者的影响。实证结果发现:竞价交易下的债券价格显著更高,并且高收益率债券的交易更为频繁,说明竞价交易下的投资者可能存在片面追逐收益率而忽视基本面的特点。进一步分析发现,在散户需求更大(如票面利率更高、认知度更高)的债券上,价格差也更大,说明散户投资者对高收益率债券的需求是竞价交易价格更高的主因之一。本文还提供证据说明,价格差的持续存在主要是由于套利限制而不是由流动性溢价所导致。最后,本文考察了"云南城投债危机"这一外生冲击对价格差的影响,得到了与上述一致的结论。

Exchange bond market has two kinds of trading systems： auction trading and block trade. Due to trading volume threshold of block trade, retail investors＇ transactions are restricted to auction. This paper investigates the price gap between auction trading and block trade of the same bond on the same day, in order to identify the demand effects of retail investors on bond pricing. The results show that the price is significantly higher and the high -yield bonds are traded more frequently under auction, which indicate the investors using auction may exhibit the behaviors of yield - chasing and fundamentals ignoring. In addition, the price gap is larger for bonds with more retail demands （ such as higher coupon rate and higher awareness）. These results demonstrate that the demand effects of retail investors for high - yield bonds is the main reason why the price is higher under auction. Further evidence proves that the persistence of price gap is mainly due to the limits of arbitrage rather than liquidity premiums. Finally, ＂The Yunan Chengtou Bond Crisis＂ as an exogenous shock is studied and consistent results are obtained.