外国投资者行为与东道国债券市场风险——基于投资者动机视角  

Foreign Investors Behavior and Host Country Bond Market Risk

作　　者：周荣喜[1] 何建飞 孙榛 ZHOU Rongxi;HE Jianfei;SUN Zhen(School of Banking and Finance,University of International Business and Economics)

机构地区：[1]对外经济贸易大学金融学院

出　　处：《金融市场研究》2024年第1期80-94,共15页Financial Market Research

基　　金：国家自然科学基金项目“中国债券市场‘信用利差之谜’研究”(71871062);对外经济贸易大学研究生科研创新基金资助“双循环新发展格局下我国国债管理策略研究”(202118);对外经济贸易大学科研探索项目“外国投资者在东道国国债市场的投资行为研究”(23PYTS35)。

摘　　要：境外投资者在东道国金融市场中扮演十分重要的角色,挖掘其投资行为背后隐含的经济信息对东道国金融市场风险管理具有较高的应用价值。本文以金融“脆弱性”模型为基础,基于投资者动机视角,构建包含“主动调整”风险效应、“流动性调整”风险效应的金融资产风险模型,探讨外国投资者“主动调整”和“流动性调整”风险效应。结果发现外国投资者“主动调整”和“流动性调整”风险可提高东道国长期国债收益率波动。在极端市场情形下,外国投资者“主动调整”风险对东道国债券市场波动的推动作用更加强烈;外国投资者“主动调整”风险对市场波动的影响受东道国经济和金融发展状况的影响。研究结论对我国债券市场高质量发展具有一定的参考价值。Foreign investors play an important role in the host country's financial market,and understanding the less visible economic factors behind their investment decisions contributes to the management of financial risk..Based on the financial"vulnerability"model,this paper constructs a financial asset risk model,including the"active adjustment"risk effect and the"liquidity adjustment"risk effect from the perspective of investor motivation.It also concludes that foreign investor"active adjustment"and"liquidity adjustment"risk could increase the volatility of long-term government bond yields in the host country.Under extreme market conditions,foreign investor"active adjustment"risk has a stronger impact on volatility in the host country's bond market,while"active adjustment"risk is more closely linked to the host country's economic and financial development.The conclusions of the study provide a valuable reference for the high-quality development of China's bond market.

关 键 词：外国投资者 “脆弱性”模型 国债收益率波动 风险效应 

分 类 号：F832.51[经济管理—金融学]