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 interbank government bond market. Through an empirical examination of the market fragmentation in bond pricing, we employ statistical methods to analyze the differences in bond yield curves between the two markets. We assess the possibility of risk-free arbitrage for cross-market government bond instruments under the current market trading mechanisms and dissect several factors contributing to the pricing differences in China's government bond market, making qualitative judgments about 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 empirical analysis on the influencing factors of pricing differences between the exchange-traded government bond market and the interbank government bond market. The measurement methods and their formulation are key areas of in-depth consideration for the research team. The study empirically tests the significance and impact of different influencing factors, verifying our judgments about the causes of pricing disparities and demonstrating the fundamental reasons behind bond pricing differences. The innovation of this study lies in providing both case studies and empirical data to validate the judgments about the causes of bond pricing differences between the exchange-traded and interbank markets. The research methods adopted involve creating mathematical models based on hypothesized factors for attributional empirical analysis and classification discussions. Highlighting both practicality and theoretical innovation, this study holds significant real-world implications.