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Information Asymmetry and Risk Management of Bond Yield

Author: WanZhiFeng
Tutor: WenYiSheng
School: East China Normal University
Course: Information Science
Keywords: Information asymmetry National debt Yield Risk Management
CLC: F831.5
Type: Master's thesis
Year: 2005
Downloads: 178
Quote: 0
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Abstract

Investment in bonds relative to stocks and other equity-type securities investment, with high security, high-yield and high liquidity advantages bond investment has also been a growing number of investors. But in recent years, as technology advances and the development of financial innovation, financial markets, the emergence of a large number of financial derivatives, which improve the operational efficiency of the financial markets, it also makes financial product prices, interest rates and exchange rate fluctuations increasing , the domestic bond market information asymmetry causes the risk of investment is growing. Foreign markets relatively well, and information asymmetry is weak. Domestic market asymmetric information about the stock market more research, and for the bond market information asymmetry few studies, information science from the perspective of research is still not, under the guidance of the teacher in the smell to identify papers from the perspective of information asymmetry to study the yield of the bond market risk management issues. In the thesis writing process, the main difficulty is abroad (China, USA, Japan) data collection and data processing and utilization. Xiangcai Securities senior analyst Dr. Hu Weidong bonds and XiangCai colleagues gave me a lot of help, not only to give a lot of tips, but also personally helped me collect some relevant data. Papers data processing spent nearly two months time, a large number of reference model, established a relatively simple, high accuracy, the main risk control model paper is structured as follows: In the first chapter introduces the thesis of asymmetric information , treasury risk management of the relevant theory. In the second chapter empirical analysis of China's bond yields and interest rates, capital markets, money supply, the correlation of the bond market on a preliminary analysis of asymmetric information. In the third and fourth chapter mainly analyzes the U.S. and Japanese government bond market yields and interest rates trend correlation United States, the Japanese government bond market to make a preliminary analysis of information asymmetry. In the paper's final chapter summarizes the analysis yields significance with China, the USA, Japan, the three countries of the bond market to make a comprehensive analysis of asymmetric information, compare the current, the United States and Japan's bond market information transparency. According to information obtained papers analyzing indicators, the establishment of China's expected yield bond market bond yields risk control models and model, and using historical data analysis verified the validity of the model. Finally, we discuss how to use the model for quantitative analysis, reducing the information asymmetry risk, bond yields good risk management. The biggest innovation of paper there are four major points: 1. Through empirical comparative analysis to determine the information transparency of the bond market, which is the strength of the degree of asymmetric information; 2. Determine some information indicators used to determine changes in bond yields trend. Qualitative analysis of the general shift from the original indicators can refer to in order to have a quantitative data analysis; 3. Established movements in bond yields determination model. Using the model can be easily and accurately determine future movements in bond yields; 4. Establish a bond investment risk control model to quantify the size of the investment risk. According to some information may be measured to calculate the size of the bond investment risks, so as to achieve the purpose of risk control; papers and some places require further study, but there are also some studies shortcomings: 1. Affected by the historical development of the domestic market restrictions , limited amount of data, the main reference is the historical data since 1998; 2. thesis right and yields some indicators related to CPI, GDP, etc. without further empirical analysis; 3 model sudden major events leading to the Treasury Changes in short-term yields are difficult to predict;

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