基于行为金融的银行间债券交易行为研究

本章主要从数量的角度分析了银行间债券市场的主体交易行为。由于传统金融市场理论与银行间市场的实际情况存在不符的情况,作者试图用行为经济学理论来解释银行间市场的主体交易行为。由于数据方面的原因,本实证分析仅局限于银行间现券交易。实证结果显示,银行间市场不同主体之间的行为存在显著的差异性。最后,论文引入行为因子,对传统债券定价模型进行修正。

Behavioral Financial Analysis on Inter-Bank Bond Market Transaction

This paper primarily focuses on inter-bank bond market transactions.Because classical financial market theory is not consistent with the actual situation in China's inter-bank market,the author attempts to employ behavioral financial theory to explain main inter-bank market transactions.Since the data is incomplete,the empirical analysis is limited to existing bond transaction.Evidence shows that the market behavior between different institutions is distinct.Finally,by introducing behavioral factors,classical bond pricing model is amended.