| China' s treasury bond circulating market has vigorously promoted the economic development since its establishment.For the government,the treasury bond market is not only the important means and way to raise the construction funds and make up for the financial deficit,but also the tool to conduct the macroeconomic regulation and control using the financial policies;for the central bank,the treasury bond is the way to conduct the open market manipulation and carry out the monetary policies;in terms of ordinary investors,the treasury bond market is the safe and reliable investment channel;for the securities market and even whole financial market,the treasury bond market offers the benchmark interest rate and exerts a guiding role in basic information.Hence,one efficient,open and unified treasury bond market is beneficial to the steady operation of the financial market and i n turn promoting the harmonious economic development.The foreign and domestic theoretical circle has been studying the efficiency of the capital market and particularly stock market while there has not been the systematic and logical research content in the efficiency of the treasury bond market.Besides,the overwhelming majority of the existing researches into the efficiency of the treasury bond market are mainly the qualitative ones without quantitative analyses or persuasiveness.Therefore,the paper will manage to clarify the essence of the treasury bond market efficiency,measure it from various angles through empirical analysis and in turn analyze the low efficiency cause of China' s treasury bond market to provide the policy suggestions for the improvement of treasury bond market efficiency and perfection of market construction.Firstly,the paper has retrospected the related foreign and domestic researches into the securities market and bond market efficiency,carded the definitions of connotation and denotation of treasury bond market efficiency in the existing researches,and reviewed the influencing factors on the market efficiency of the national debt,the measurement methods of the market efficiency and the ways to improve the efficiency.This article also makes a more comprehensive discussion on the efficiency theory of government bond market,and reveals the importance of market micro-structure theory,effective market theory and government debt management theory.With the study of the function of national debt market,this paper makes a new definition of the connotation of the efficiency of national debt market,discusses the evaluation criteria of national debt market efficiency and the function and significance of national debt market efficiency.Secondly,the institutional change in the development of China' s treasury bond market has produced an important influence on the treasury bond market efficiency.So the paper retrospects the development history of China' s treasury bond market,aiming to find out the roots of China' s treasury bond market efficiency problem and their influence on the present situation of treasury bond market.The development of China' s treasury bond market especially in the initial stage is the outcome of the mandatory institutional change,producing a huge influence on the subsequent market efficiency.Based on this,the occurrence of the problems with China' s treasury bond market efficiency can be clearly known.Thirdly,the paper stresses the micro-analysis of China' s treasury bond market efficiency,which is mainly presented in the three aspects of market liquidity,market volatility and market efficiency.In the paper,the liquidity measurement index has been set up to analyze the market depth and width of China' s treasury bond market liquidity and in turn probe into the factors of affecting the market liquidity and analyze the cause of low treasury bond market liquidity in China.In the research into treasury bond market volatility and efficiency,the econometrics and related models have been applied in the paper to conduct the empirical analysis to arrive at the corresponding conclusions and probe into their enlightenment for use based on the data source analysis and description.Fourthly,China' s treasury bond market efficiency is not only the matter of independent market operation and but also bound up with the economic structure and related markets.Therefore,the paper has relatively systematically analyzed the main factors of affecting China' s treasury bond market efficiency,such as legal environment and supervision system,trading mechanism and derivative product market,structure of investors and unified market.Based on such analysis,the countermeasures have been put forward to improve China' s treasury bond market efficiency.To perfect the laws and regulations of the treasury bond market and regulate its supervision and management system is the groundwork of improving treasury bond market efficiency,whose importance is self-evident.For market operation,to perfect the trading mechanism,especially the market-marker system,can raise the market liquidity effectively.The issuing pattern and mechanism improvement of the issuing market also has an important effect on the treasury bond market efficiency.Simultaneously,the structure of investors should be continuously improved to cultivate the eligible institutional and long-term investors and expand the type and scale of extraterritorial investors.To perfect the treasury bond derivative product market plays an active role in promoting the treasury bond spot market,so a series of institutional arrangements should be made to guarantee the standard development of treasury bond future market.The main conclusions and policy recommendations in this article are as follows.This article argues that institutional changes in the government bond market of China in the early stage of establishment and development are mandatory institutional changes led by the government from top to bottom.It can reduce implementation costs,efficiently establish and operate the government bond market.However,it has also brought some institutional defects and has brought negative impact on the market efficiency.When institutional arrangements brought about by mandatory institutional changes are put into operation,consideration shall be given to coordination between institutional arrangements and the institutional environment;otherwise it will lead to market efficiency deficiencies over a long period of time.In the analysis of the liquidity of the operating efficiency and through the analysis of the width and depth of the market,we can see that the transaction scale of various sub-markets of the government bond is extremely unbalanced.The increase of the transaction scale is not only related to the increase of the issuance scale but also to the structure of investors of the market.The interbank market with the turnover rate as the measurement index is higher than the exchange market.Compared with developed countries and mature markets in Asia,the liquidity of the government bond market in China still has a long way to go.Through the analysis of market volatility,we can see that the government bond index of the inter-bank government bond market and exchange bond market has the significant fluctuating"combined effect",and fluctuation responds slowly to the market trend,indicating that the capacity to absorb macro information needs to be enhanced.The asymmetric effect exists in the volatility of both markets,which expands the market volatility.Through empirical test,there is a long-term balanced relationship between changes in the rate of return of the government debt market and various economic variables,but different factors have different effects on the government bond market.In the test of the market information efficiency,the market validity test is carried out.Results show that there is obvious autocorrelation between time series of different markets,and the significance of variance ratio in terms of statistics is not 1,which do not meet the assumption of random walk.It is concluded that whether it is the government debt market as a whole,or the two sub-markets of the government debt market,they have not reached the weak-form market efficiency.As for the market linkage of two sub-markets of the government bond,the empirical test of this article proves that the price trends between the inter-bank government bond market and the exchange government bond market do not converge.In accordance with the principle of market effectiveness,if the market is effective,the market price shall converge in the long run.However,price trends of two sub-markets of the government bond market do not converge,indicating that the price difference does not cause arbitrage of investors in the two sub-markets of the government bond market,or response of government bond prices in the two sub-markets to supply and demand is not consistent,and the market is inefficient.Based on the analysis of factors influencing the efficiency of the government bond market,the following policy recommendations are proposed.(1)Improve legislation and regulatory systems of the government debt market.Improve the relevant laws and regulations of the market,improve the legal level applicable to the government debt market,and establish basic laws and specialized laws to constitute a complete legal system.Improve the regulatory system,develop specialized regulatory laws and regulations,make clear unified regulatory planning and improve the market regulatory mechanism.(2)Promote the marketization process of issuance of government bonds,and innovate the issuance system and mechanism.In addition to continuing to improve issued pre-release and subsequent offering,it can also further explore the timely introduction of government bonds exchanged for vouchers and Separate Trading Registered Interest and Principal Securities and enhance the efficiency of the secondary market through the innovative development of the primary government bond market.(3)Improve the structure of the government debt market.The focus is to implement market stratification,that is,establish a market between traders to solve the problem of flattening the market.(4)Strengthen the construction of the market trading mechanism.Establish a market among market makers;increase the number of market makers;enrich the type of market makers;provide policy support for market makers;strengthen the construction of the regulatory mechanism,and improve the credit evaluation system.(5)Improve the structure of investors.Enrich the type of investors,cultivate long-term investors,develop government bond investment funds,and change the phenomenon of too larger proportion of commercial banks that leads to weakened liquidity.At the same time,actively expand the type and scale of foreign investors.(6)Promote the development of the government bond futures market.Improve the structure of investors,promote commercial banks and insurance institutions to enter the government debt futures market,and promote the expansion of the market scale;enrich varieties of government debt futures,meet the needs of investors in terms of value maintaining and hedging,and promote the price discovery of the cash market and improvement of the level of liquidity. |
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