Shanghai Stock Exchange Research · Issue 3, 2005

Author: Research Center of Shanghai Stock Exchange
Publisher:
Publish Date: 2005-10-01
Features: This study conducts an in-depth empirical investigation into the issue of bond pricing differences in China. We begin by reviewing the theories and practices of bond pricing in the bond market, analyzing the current state of bond pricing differences between China's exchange-traded government bond market and the interbank government bond market. Through a real-world examination of the fragmentation in bond pricing markets, we employ statistical methods to analyze the differences in bond yield curves between the two markets. We analyze the possibility of risk-free arbitrage for cross-market government bonds under the current market trading mechanisms and, based on this, dissect several factors contributing to the pricing differences in China's government bond market, offering a qualitative judgment on the causes of bond pricing disparities. This study traces the development and application of theories and methods for analyzing bond pricing influencing factors, establishes measurement methods for these factors, and conducts an empirical analysis of the influencing factors behind the pricing differences between the exchange-traded government bond market and the interbank government bond market. The measurement methods and their formulation are a key focus of the researchers involved in this study. By empirically testing the significance and impact of different influencing factors, the study validates our judgments on the causes of pricing disparities and elucidates the fundamental reasons behind bond pricing differences. The innovation of this study lies in its judgment on the causes of bond pricing differences between the exchange-traded and interbank markets, which is verified both through case studies and empirical data. The research methods adopted involve creating mathematical models based on hypothesized factors to conduct attributional empirical analysis and classification discussions. Highlighting both practicality and theoretical innovation, this study holds significant real-world implications.