周期进行式:境外机构对银行间市场人民币债券需求的日历效应  

The Calendar Effect of Foreign Institutional Demand for Chinese Bonds

作　　者：刘方根[1] 郑葵方[2] 李思琪 LIU Fanggen;ZHENG Kuifang;LI Siqi(Finance and Accounting Department,China Construction Bank;Financial Market Department,China Construction Bank;Hong Kong Financial Market Center,China Construction Bank)

机构地区：[1]中国建设银行财务会计部 [2]中国建设银行金融市场部 [3]中国建设银行香港资金营运中心,中国

出　　处：《金融市场研究》2024年第5期38-50,共13页Financial Market Research

摘　　要：银行间利率债券市场和境外机构对银行间市场人民币债券的需求存在明显的季节性规律。本文综合运用描述性统计、历史高低点统计和EGARCH-t模型等方法进行分析,发现银行间市场利率债的投资回报率表现出“6月和11月显著为负、12月显著为正”的月度效应。境外机构对中债需求最强的12月和6月,主要增持国债和同业存单,当月中美利差拓宽、美元指数贬值、美股道指上涨均明显提升境外机构的风险偏好,促使其大幅增加投资。境外机构需求最弱在3月,主要卖出政策性金融债和国债,主要由于美股大跌和大幅波动,市场避险情绪升温。这为债券投资交易提供了有价值的启示。There is an obvious seasonal pattern in Chinese bond market,most notably in the demand for Chinese bonds from foreign institutions.This paper analyzes Chinese bond market returns and foreign institutional demand by using descriptive statistics,historical extreme value statistics and the EGARCH-t model.It finds that Chinese bond returns show a pattern of being significantly negative in June and November and significantly positive in December.In December and June,when foreign institutions have the strongest demand for Chinese bonds,investors mainly increase their holdings of treasury bonds and negotiable certificates of deposit.Foreign institutions significantly increase their risk appetite and boost investment in Chinese bonds when the US-China interest rate spread widens,the US dollar depreciates and the US stock market rises.According to the data reviewed in this study,demand from foreign institutions was the weakest in March,when foreign investors mainly sold policy bank bonds and treasury bonds.This was largely the result of sharp falls and high volatility in U.S.stocks,leading to greater risk aversion in the market.These findings provide valuable insights for bond investment.

关 键 词：债券市场 境外机构 季节性规律 日历效应 

分 类 号：F83[经济管理—金融学]