深圳证券交易所记账式国债日收益率的主导因素分析

在国内基准利率没有变化的前提下,研究国债交易市场内部对国债日收益率的主要影响因素及影响程度。选取深圳证券交易所18支记账式国债从2009年4月20日到7月29日每日收盘价及成交量等数据,在进行修正后得到基础数据。通过系统聚类的方法将选取的国债样本分为三类。进而使用多元线性回归方法进行分析。结果表明,在中短期,利息水平对当期收益率的影响为负向,而长期中,则为正向。前日的收盘价以及收益率水平,对当期的收益率影响为负向。而价格走势对于国债日收益率影响最为显著。可见投资深交所记账式国债时,无论债券期间长短,债券的价格对于该支债券的收益都具有十分重要的意义。

Analysis on dominate factors of daily yield of the book-entry national bonds on Shenzhen stock exchange

The analysis of this essay was under the basis of no change on the domestic base interest rate.The dominate factors inner the bond exchange market which affected the daily return of the book-entry national bonds was discussed.Randomly selected 18 book-entry national bonds on Shenzhen Stock Exchange,and their basic data were adjusted from each stock’s daily closing price and the trading volume from April 20th 2009 to July 29th.The sampled bonds were classified into 3 groups by the Hierarchical Clustering Methods.in the mid and short run,the level of interest rates had negative effect on the current yield while the effect was positive in the long run.The closing price and the yield rate of the last day had negative effect on the current return.And the current price trend notably influenced the yield.when invest the book-entry treasury bonds on Shenzhen Stock Exchange,no matter whether the period of the bonds was long or not,the current price of the bond was significant to the yield rate.