我国企业债券市场与股票市场运行效率比较——基于夏普比率和BDSS模型的分析  

Comparative Study on the Operation Efficency in Enterprise Bond Markets and Stock Markets in China—Based on the Analysis of Sharp Ratio and the BDSS Model

作　　者：叶志强[1] 张顺明[2] 刘仕保[1] 

机构地区：[1]厦门大学经济学院,福建厦门361005 [2]中国人民大学财政金融学院,北京100872

出　　处：《系统工程》2010年第12期45-51,共7页Systems Engineering

基　　金：国家杰出青年科学基金资助项目(70825003);国家社会科学基金重点资助项目(07AJL002);教育部人文社会科学重点研究基地重大项目(07JJD790145)

摘　　要：采用夏普比率测度了我国企业债券市场与股票市场在风险性与盈利性的综合表现,结果表明:在股市上涨期间,企业债券市场与股票市场的夏普比率关系不确定;在股市下跌期间以及在一个较长的时间里,企业债券市场的夏普比率高于股票市场的夏普比率。同时,本文根据BDSS模型考虑了我国企业债券市场与股票市场流动性风险,结果表明在各种市场条件下,企业债券市场比股票市场的流动性风险都要小。文章最后针对比例因子a的敏感性进行分析,得到稳健结论。从这两个模型得到的结论说明在安全性、盈利性和流动性三个方面我国企业债券市场比股票市场运行良好。这一结论不同于之前人们对我国企业债券市场运行效率低下的普遍看法。This paper uses the Sharp ratio to estimate both the risk and the profit of the enterprise bond market and the Stock market in China,and the results suggest that： during the stock market rising period,the relationship between the enterprise bond market＇s Sharp ratio and Stock market＇s Sharp ratio is indefinite;during the stock market falling period,the enterprise bond market＇s Sharp ratio is higher than Stock market＇s Sharp ratio;in a long time,the bond market＇s Sharp ratio is higher than the Stock market＇s Sharp ratio.Furthermore,according to the BDSS model,this paper considers the fluid risk of the enterprise bond market and the Stock market,and obtains the results that under any kind of market condition,the enterprise bond market＇s fluid risk must be smaller than Stock market＇s fluid risk.Finally this article analyses the sensitivity of the Scaling Factor and gets the robust conclusions.The results of the two models indicate that the enterprise bond market is better than the stock market in China in three aspects of security,profit and fluidity,which can challenges the tranditional views that the enterprise bond market operating is low efficiency.

关 键 词：企业债券市场 股票市场 夏普比率 BDSS模型 

分 类 号：F830[经济管理—金融学]