政府规制、流动性与交易收益率:效应与机制

Government Regulation,Liquidity and Trading Returns:Effects and Mechanisms

认识政府对金融市场规制影响的复杂性及其作用机制是政府进行合理规制的前提。本文将2018年8月14日中国地方政府债券发行定价限制作为一次准自然实验,研究政府规制对二级市场交易的影响,通过对比不同财力地方政府发行债券的差异化反应,验证政府规制的作用机制。研究发现:第一,政府规制有效矫正了地方政府债券定价扭曲,高财力地方政府债券定价在一级市场上具有更大扭曲,规制之后其二级市场交易收益率明显上升,而低财力地方政府无显著变化。第二,政府规制使高财力地方政府债券的流动性显著提高,并对交易收益率产生影响,证实了债券一级市场与二级市场存在联动性。第三,发行定价限制通过“政府规制—发行价格—交易收益率”直接路径和“政府规制—发行价格—流动性—交易收益率”间接路径,共同影响二级市场交易收益率,但主要通过间接路径影响交易收益率,初步打开了政府规制影响二级市场机制的“黑箱”。

Fully understanding the complexity of the impact of government regulation is a prerequisite for reasonable regulation.This article takes the pricing restrictions on the issuance of local government bonds in August 2018 in China as a quasi-natural experiment to study the impact of government regulations on secondary market transactions.By comparing and analyzing the differentiated reactions of bonds issued by different financial entities,it further verifies the mechanism of government regulation.The research findings are as follows.Firstly,government regulation has effectively corrected the pricing distortion of local government bonds.The secondary market trading yield of bonds issued by high financial local governments with greater distortion has significantly increased,while there has been no significant change in bonds issued by low financial local governments.That is,high financial local government bonds can better play their price discovery and risk identification functions after being regulated.Secondly,government regulations have significantly improved the liquidity of bonds issued by high financial local governments,and have an impact on transaction returns through liquidity.This article further verifies the linkage between the primary and secondary bond markets.Thirdly,issue pricing restrictions affect the transaction yield of the secondary market of bonds through the“government regulation-issue price-transaction yield”direct impact path and the“government regulation-issue price – liquidity-transaction yield”indirect impact path,and mainly affect the transaction yield of the secondary market through the indirect path.In order to improve China's bond market,this paper puts forward three suggestions.Firstly,establish a financial system based on the market and supplemented by government regulation.Secondly,enrich trading entities and improve trading liquidity.Thirdly,promote the interconnection and interoperability of various infrastructure in the bond market.