Second, guide investors' asset allocation. The compilation and release of bond index can provide bond investors with signals of market price changes. Investors can comprehensively compare and predict the price fluctuations of investment channels such as stock index, fund index (correlation, quotation) and bond index to determine the allocation ratio of their own funds in various assets, avoid blind investment and pay attention to rational investment and scientific investment.
Third, as an evaluation benchmark for investors' investment performance. Many investors have taken the stock price index as the evaluation benchmark of their stock investment performance. After the launch of the bond index, investors can also compare the bond investment yield with the bond index yield and judge the performance of their investment relative to the average yield level of the bond market.
Fourth, as a decision-making reference for management. Government management can evaluate and judge the operation of the bond market through the index, grasp the abnormal fluctuation of bond trading in real time, and formulate corresponding regulatory policies and measures. For example, make full use of the fluctuation of bond index and the information it provides about the relationship between supply and demand in the market, formulate more flexible interest rate policies, formulate reasonable bond issuance plans, and standardize market investment activities.
Fifth, the national debt price index can be used as a measure of risk-free rate of return. Under normal circumstances, people always regard the interest rate of bank deposits as risk-free rate of return, but because of the low-risk and high-yield characteristics of treasury bonds, they have become recognized as risk-free assets in the market. Therefore, the price index yield of treasury bonds will provide investors with another means to measure risk-free rate of return.
Sixth, promote the in-depth development of bond theory and its application technology. The compilation and publication of bond index provides data and conditions for the technical analysis of bond market, which can further improve and develop China's bond investment theory and its application technology, such as bond price risk structure analysis, linkage reaction analysis between bond market and other securities markets and money markets, and bond portfolio management technology. This will also promote the healthy development of the bond market. In addition, with the development of China's securities market, the variety and quantity of bonds will greatly increase. In addition to the bond index currently compiled, more flexible classification indexes can be further compiled, such as term classification index, industry classification index and bond type classification index.
Seventh, lay the foundation for financial product innovation. When China's securities market develops to a certain stage, we can also innovate financial products around the bond index and even its classification index, such as bond index futures, bond index options, indexed bond funds and so on. Therefore, the bond index currently compiled is contemporary and far-reaching.
Eighth, improve the trinity securities index system of Shanghai Stock Exchange. The compilation of bond index will fill the blank of bond index in China's securities market, and the construction of the trinity securities index system of Shanghai Stock Exchange will be conducive to the overall investigation and study of the securities market and a comprehensive understanding of the securities market.
Second, the current situation of the bond market of Shanghai Stock Exchange
In the modern sense, China's bond market began with the resumption of issuing government bonds in 198 1 year. After more than 20 years of development, it has experienced three stages of development: immature OTC bond market represented by physical bond counter market, on-site bond market represented by Shanghai Stock Exchange, and the coexistence of interbank bond market and exchange bond market at present. The bond market of Shanghai Stock Exchange was established at the same time as the establishment of the exchange. After more than ten years of development, it has made remarkable achievements and gradually improved its position in the entire securities market. According to the statistics of Shanghai Stock Exchange, while the annual turnover of the whole securities market is rising, the proportion of bonds (excluding national debt repurchase) in the annual turnover is also rising, from 10% in 2000 to 23% in August 2002. The exchange bond market is growing, and the number and scale of bonds are growing rapidly. In the first eight months of 2002, the bond turnover was more than eight times that of 1996.
Compared with the international bond varieties, the bond varieties listed on the Shanghai Stock Exchange are relatively single, and there are currently 28 bonds (excluding 6 bond repurchase varieties). The bonds of Shanghai Stock Exchange have the following characteristics:
1) overall, the average size of bonds has increased, from an average of 7.809 billion yuan in 2000 to an average of 10063 billion yuan; Among them, the average size of national debt decreased from 20.21100 million yuan to1832.9 billion yuan, and the average size of non-national debt increased from129.6 million yuan to1796 million yuan.
2) From the perspective of issuers, it is still limited to two categories: national bonds and corporate bonds, and the scale of corporate bonds is far weaker than that of national bonds.
3) From the interest situation, two kinds of floating interest rate bills have been added, but because China's interest rate is still set by the central bank, it is different from foreign floating interest rate bills. With the downward adjustment of interest rate in China, the weighted average interest rate of bonds dropped from 7. 10% in 2000 to 4.70% in 2002. In addition, the issuance of one-time interest-paying bonds has also been greatly reduced.
4) From the perspective of term structure, the term distribution of SSE bonds is becoming more and more reasonable, but it needs to be further improved. The number and scale of bonds are mainly in 65,438+00 years, and long-term bonds with 65,438+05 years and 20 years have been added. The weighted average maturity of bonds increased from 7.30 in 2000 to 9.7 1 year in 2002.
Iii. Analysis of International Bond Index
International bond markets is quite developed and its bond index is relatively mature. Studying its methods and characteristics will be of great benefit to the compilation of bond index of Shanghai Stock Exchange. In this paper, the internationally famous bond index series (mainly including Merrill Lynch bond index, JPMorgan Chase bond index, Lehman Brothers bond index, SalomonSmithBar Barney? Ney) bond index, Dow Jones corporate bond index, Morgan Stanley Capital International (MSCI) bond index and HSBC bond index. ) one by one analysis, the research team found that * * * in the following aspects:
1, the index system is quite complete.
As international bond markets is quite developed, the number of sample bonds in each total index is quite large, which provides a basis for building a perfect bond index system. For example, according to the classification of countries and regions, national classification index and regional classification index can be compiled; The dollar bond index and the euro bond index can be compiled according to the classification of denominated currencies; According to the types of bonds, government bond index, corporate bond index and quasi-government bond index can be compiled. According to the credit rating of corporate bonds, investment-grade bond index and high-yield bond index can be compiled; According to the industry classification of bonds, industrial bond index, financial bond index and public utility bond index can be compiled. According to the maturity date of bonds, various bond indexes with different maturities can be compiled, and so on. Such a complete index system provides investors with very rich bond market information, which is convenient for investors to make investment decisions more flexibly.
2. The index has good ductility.
These bond index systems have experienced a long development process. In the development process, according to the changes in international bond markets, each index system has been adjusted and expanded accordingly. For example, Merrill Lynch's global major market (investment grade) bond index compiled the global major market large bond index (GLCI) and its corresponding classification index by raising the minimum size of non-government bonds. Some bonds in the non-core bond market (Czech Republic, Greece, Hungary, Norway, Poland, Singapore, South Africa, South Korea, etc. ) join the sample, and compile the global major market expansion index (GBMP) and its corresponding classification index. It is precisely because of the good extensibility of these indexes that they are world-renowned and recognized by international investors.
3. The selection criteria for sample bonds are * * *.
In addition to the significant differences in currency and issuing place, the sample bond selection criteria of each bond index have many similarities. These standards are also * * * knowledge formed in the process of compiling various indexes for many years, and the indexes compiled by sample bonds selected according to these standards have also been recognized by the market.
(1) According to the types of sample bonds, some indexes are direct bonds (such as Dow Jones Bond Index and HSBC Bond Index), but others include redeemable bonds (such as Merrill Lynch Bond Index, JPMorgan Chase Bond Index and MSCI Bond Index).
(2) From the perspective of the types of bonds, they are basically fixed interest rates, or ladder bonds or ladder bonds with predictable future interest flows. This is mainly because the interest flow in floating rate notes changes with the change of reference interest rate, which is unpredictable, thus leading to the inability to accurately calculate the yield to maturity, convexity and other related indicators of this kind of bonds.
(3) Judging from the credit rating restrictions of bonds, all the indexes basically set credit rating restrictions on non-government bonds (except HSBC Asia Dollar Bond Index). For investment-grade bond index, the lowest credit rating is investment grade, while for high-yield bond index, the credit rating of sample bonds is below investment grade. In the choice of credit rating indicators, most indexes adopt Moody's rating system or S&P rating system or their comprehensive rating, and only a few national indexes adopt other rating systems.
(4) Judging from the remaining maturity, the remaining maturity of the sample bonds of basically all indexes must be greater than 1 year or 1 year. This is mainly due to the following two considerations. On the one hand, securities with a maturity of less than 1 year should be regarded as money market varieties and should not be included in the index sample reflecting the price changes of bonds in the capital market; On the other hand, from the investment point of view, bondholders with a remaining maturity of less than 1 year are very likely to hold bonds for redemption, which will reduce the liquidity of bonds.
(5) From the point of view of the minimum external circulation scale, basically all indexes have set a lower limit, while the Dow Jones Corporate Bond Index chose the bond with the largest circulation scale when the sample size was determined. This is the same as the limit of the remaining maturity date, in order to ensure the liquidity of the sample bonds. If the bond issuance is small, it will inevitably lead to a decrease in liquidity.
(6) Judging from the frequency of sample adjustment, the sample bonds of all indexes are basically adjusted once a month, some at the end of the month and some at the beginning of the month, and most of the sample bonds of the index month remain unchanged. However, the Dow Jones Bond Index stipulates that if an event occurs within one month (including but not limited to bankruptcy or bond rating falling below investment grade), the bond will be eliminated, and no new bonds will be added until the index constituent bonds are adjusted at the end of next month.
4. The index calculation method is * * *.
(1) Judging from the base period and point of the index, the base period is basically the last trading day of a certain year; The number of points in the base period is basically 100, mainly because investors can see the percentage change of the index value very intuitively.
(2) There are three main methods to determine the weight. One is equal weight, such as Dow Jones Bond Index (DJCI), the other is total market value weight, such as Merrill Lynch Bond Index, and the third is liquidity-adjusted total market value weight, such as HSBC Bond Index. According to the liquidity of bonds, the adjustment coefficients of 1.0, 0.5 and 0.0 are given respectively, which reflects the index design concept of attaching great importance to bond liquidity.
The reason why DJCI adopts simple arithmetic average is that its sample bonds are 96 bonds with the largest circulation, so the price change of each bond has roughly the same impact on the index. Other indexes are weighted by the total market value because the internal scale of the sample is quite different, and the influence of the price changes of each bond on the index cannot be regarded as the same.
(3) Judging from the price changes reflected by the indexes, all indexes are complete income indexes, including capital gains from bond purchases, interest income and interest reinvestment income.
(4) From the perspective of interest reinvestment channels, there are two main ways of interest reinvestment. One is to reinvest interest at a certain market interest rate. For example, Merrill Lynch Bond Index reinvests the interest of 65,438+0 month London Interbank Offered Rate (LIBID), and MSCI Bond Index reinvests the interest of short-term money market interest rate. The other is to reinvest the interest in corresponding bond indexes, such as JPMorgan Chase Bond Index and HSBC Bond Index.
(5) From the point of view of bond pricing, the bond prices used in the index are basically divided into three categories, one is the market closing price, such as JP Morgan Bond Index and Dow Jones Bond Index, the other is the quotations of its own traders, such as MSCI Bond Index and HSBC Index, and the third is the buyer's quotations in the market, such as Merrill Lynch Bond Index.
(6) Judging from the release of corresponding statistical data, most bond indexes not only release index values, but also provide investors with other more detailed statistical indicators needed for market analysis, such as yield to maturity, duration and convexity.
Fourthly, research on the compilation of bond index.
Principles for compiling (1) bond index
According to the successful experience of compiling bond index in the world, the following principles should be followed when compiling bond index in order to realize the function of benchmark index.
First of all, the index has a clear function and can truly reflect the overall price of the target bond.
Second, the index can be easily copied by investors. In this way, passive investors such as bond funds can obtain the market benchmark income level by copying the bond index.
Third, the index should try to keep its structure stable. The change of index sample bonds should not be too frequent, and the change of sample bonds should have certain rules, so that investors can make predictions, and there is no need to conduct intraday trading in order to track the index.
Fourth, the index compilation method is open, transparent and simple. The compilation method of the index should be open to investors, and the selection method of sample bonds and the calculation method of the index should be easily mastered by investors in order to make more accurate predictions on the market.
Fifth, on the basis of the above general principles, the expansibility should be combined with reality. The index compiled in this way can not only reflect the actual situation of the current bond market, but also lay the foundation for the extension of the bond index under the development conditions of the bond market.
In order to better implement these principles, the specific methods in index compilation will be based on the empirical research of international experience and actual data, and the bond index compilation scheme suitable for the exchange bond market will be formulated.
Bond index system
According to the actual situation of the bond market in the stock exchange, a bond index system consisting of bond comprehensive index (correlation, quotation), government bond index and corporate bond index is preliminarily envisaged. These three indexes are different in functional orientation, which is mainly reflected in the objects reflected by the indexes: the comprehensive index reflects the overall performance of the bond market in Shanghai Stock Exchange; Government bond index reflects the overall performance of the national debt of the Shanghai Stock Exchange; The corporate bond index reflects the overall performance of corporate bonds in Shanghai Stock Exchange. This difference will be realized through the selection of sample bonds, and the three indexes adopt the same index calculation method.
(3) Selection criteria of sample bonds
According to the principle of index compilation, drawing lessons from the experience of sample bond selection of international bond index and combining the current situation of bond market in Shanghai Stock Exchange, the following sample bond selection criteria are formulated.
1, sample selection space
Domestic bonds (including direct bonds and callable bonds) denominated in RMB listed and traded on Shanghai Stock Exchange. Because the circulation scale of convertible bonds changes frequently, it is not included.
2. Coupon type
Sample bonds are fixed-rate bonds and one-time interest-paying bonds, which is an international practice. At present, there are two quasi-floating interest rate bills listed on the Shanghai Stock Exchange, 20 bonds (4) and 20 bonds (10). In the later empirical study, the indicators including these two bonds are compared with those not including these two bonds.
3. Non-government bond grade
The credit rating of non-government bonds should be investment grade. According to the grade of non-government bonds in Shanghai Stock Exchange, all of them are AAA grade, which can be used as a sample of corporate bond index.
4. Minimum external circulation scale
At present, the issuance scale of national debt in Shanghai Stock Exchange is above 654.38+02 billion yuan. Considering that with the development of China's bond market, it is possible to issue lower-scale government bonds in the future, the minimum external circulation scale of government bonds is set at 5 billion yuan. It is suggested that when issuing small-scale government bonds in the market, an empirical comparative study can be made before and after such bonds are included in the index.
The issuance scale of corporate bonds is much smaller than that of national debt. At present, the largest issue of corporate bonds in circulation is 3 billion yuan (99 Three Gorges bonds (related, quotation)), and the smallest is 700 million yuan (98 CITIC (7)). Therefore, the minimum circulation scale of bonds in this period is set at 65.438+0.5 billion yuan.
5. Remaining maturity date
According to international practice, the remaining maturity date is set at 1 year or more.
6. Adjustment of sample bonds
On the last calendar day of each month, the sample bonds will be re-examined. Unqualified bonds will be eliminated and qualified new bonds will be selected. If a bond has not been traded for a long time, it will be excluded from the sample at the end of the month, and it will not be re-selected until the end of the month.
Sample bonds are adjusted once a month according to international practice, but the number of bonds in Shanghai Stock Exchange is still very small, and bond issuance is very planned. So at this stage, we can adopt a more flexible method on the basis of monthly inspection. Specific measures are as follows:
(1) If a new bond is issued, and the bond meets the selection criteria of sample bonds, it will be predicted to investors a certain time in advance (for example, 1 month), and the sample stocks of the composite index and corresponding sub-indices will be included at the opening of the second day after its listing.
(2) Establish a forecasting mechanism for the remaining maturity of sample bonds. If the remaining maturity of a bond in the sample is 13 months, it will be predicted to investors, and it will be excluded from the sample after the closing of the index on the day when the remaining maturity of the bond is 12 months.
(3) For redeemable bonds, the bond issuer shall announce the redemption plan to the market a certain time in advance, and the index shall recalculate the circulating balance of the bond one day before the bond redemption date. If the liquidity is lower than the minimum external liquidity, the bond will be removed from the sample after the index calculation is completed; If the liquidity limit is still met, the new liquidity calculation index will be adopted the next day.
When the number of bonds in Shanghai Stock Exchange reaches a certain scale and bond issuance reaches a certain frequency, the adjustment scheme can be standardized to the last calendar day of each month.
(4) Calculation of bond index
1, the base period of the index
The base period of the bond index is199965438+February 3 1, and the number of points in the base period is 100. This is in line with international practice.
2. Total income
The bond index of Shanghai Stock Exchange should be a complete return index. Divide the income of the bond into three parts: one is the income of the bond itself, the other is the accrued interest, and the third is the interest reinvestment income.
(1) net price
The return of the bond itself is also the change of the net value of the bond.
(2) Accrued interest
Because the interest-bearing principle of bonds in China is "counting the heads but not counting the tails", that is, interest is calculated on the value date and not on the maturity date; The amount of accrued interest per 100 yuan listed on the trading day is the amount of accrued interest including the trading day, so the accrued interest is T+0.
The daily accrued interest is:
Where AIn is the accrued interest on the nth day, and MV is the face value; R is coupon rate; D is the number of days from the value date (or the last interest payment date) to the nth day, 365 is the number of days in a year, and interest does not accrue on February 29th of leap year.
(3) Interest reinvestment
It is a common practice for internationally renowned bond indexes to record interest reinvestment in the index and exclude it from the index at the end of the month. Due to the large number of sample bonds in foreign bond indexes, some even have thousands, if interest is excluded from the index when bonds are issued, the index will be adjusted very frequently every month. The advantage of compiling the method of recording interest reinvestment in the index is that when the bond pays interest, it is not necessary to immediately remove interest from the index, but only at the same time when the sample is adjusted at the end of each month, thus greatly reducing the frequency of index adjustment. However, when such indicators are used as a standard to judge investors' performance, higher requirements are put forward for investors' capital operation efficiency. Judging from the actual situation in China, on the one hand, there is no bond index fund and no market-based benchmark demand interest rate. On the other hand, the number of sample bonds is not much. So at present, if the index is directly ex-dividend when the bond pays interest, that is, the index does not include interest reinvestment income, it will be easily calculated.
3. Weight
With the total market value as the weight, the formula for calculating the weight of a bond is:
The weight is calculated once a month, and the weight remains the same in that month. However, if there are events that significantly affect the weight in that month, such as adding bonds, eliminating unqualified bonds, redeeming bonds, paying interest, etc. , the weight needs to be recalculated.
4. Calculation formula
The first calculation method
It is calculated by the formula of comprehensive price index weighted by quotation price, and the calculation formula is:
Reporting period bond index = total market value of reporting period bonds/total market value of base period bonds x base period index.
When the market value of sample bonds changes due to non-trading factors, the method of "divisor correction" is adopted to ensure the continuity of the index.
The second calculation method
First calculate the yield of a single bond, and the calculation formula is:
REt is the reinvestment income of T-day bond interest.
Then, calculate the weighted average rate of return of the index, and the calculation formula is:
Finally, the total income index value is calculated by the ring comparison formula, and the calculation formula is:
Where is the T-day total income index value.
The third calculation method
This calculation method draws lessons from the calculation method of Merrill Lynch bond index, and the month-end index does not include interest reinvestment.
First, calculate the month-to-date (MTD) yield of a single bond, and the calculation formula is:
Among them, BTRRt: the total yield of a single bond from the beginning of the month to the T day; Pt:t-day closing price; P0: closing price of last month; Ait: accumulated interest on t day; AI0: accrued interest at the end of last month; C: Interest received during this period (including payment of bond redemption funds); R/d: daily rate of return on reinvestment; S: the number of days between the cash flow receipt date and the T date.
Then calculate the weighted average rate of return from the beginning of the month to the day of the index, and the calculation formula is:
Among them, TRRt: the total rate of return of the index from the beginning of the month to T day; BTRRi, T: the total yield of the I-issue bonds from the beginning of the month to the T-day.
Finally, the bond index value is calculated by the ring comparison method, and the calculation formula is:
Among them, IVt:T daily closing index; IV0: closing index at the end of last month.
(5) Relevant statistical indicators
In addition to calculating the total yield bond index, the Shanghai Stock Exchange can also calculate the bond net price index, bond cycle yield, duration, modified duration, convexity and other indicators to provide investors with more abundant market information and facilitate their investment analysis.
An Empirical Analysis of verb (abbreviation of verb) government bond index
According to the current situation of China's bond market, the research group suggests that it is urgent to launch government bond index first, and corporate bond index and comprehensive index can be considered after the launch in government bond index. This part makes a comprehensive empirical analysis of the establishment of government bond index.
In order to analyze the differences of government bond index compiled by different compilation methods, and finally choose the appropriate method, this topic has carried out extensive empirical research, and compiled 19 government bond index.
1, An Empirical Study on Interest Types of Bond Index
Since the first floating-rate debt was added to the index on June 5, 2000, the bond index and its statistical data before and after the floating-rate debt was added began to be compared. According to the empirical results calculated by various methods, the research group believes that the interest types of index sample bonds should not include floating rate bills. The main reasons are:
First, the index with floating interest rate bills cannot reflect the expected change of interest rate; For example, in the second half of 200 1 year, the market expected to cut interest rates, and the price of fixed-rate bonds rose more, while floating rate notes changed little, indicating that the indexes including floating-rate bills could not reflect the whole market.
Secondly, from the perspective of development, if the interest rate in China is liberalized in the future, the performance of floating rate bills and fixed rate bonds will be very different.
Thirdly, if floating rate bills are included, due to the uncertainty of the future interest rate of the bond, relevant statistical indicators (such as yield to maturity, duration, convexity, etc. ) cannot be calculated, which will reduce the use value of government bond index.
Fourth, this is in line with international practice. Generally speaking, floating rate instruments with uncertain future interest rates are not included in the sample selection criteria of international bond indexes.
2. Demonstration of calculation method.
In the empirical study, this topic adopts three calculation formulas. From the empirical results, the differences between these three calculation methods are not significant, so we can choose one of them according to the actual situation.
3. Empirical study on the frequency of weight adjustment.
At present, in the compilation of government bond index, the weight is adjusted when the sample bonds change. The research group conducted an empirical study on the frequency of weight adjustment (daily or monthly) under the condition of total market value weighting. From the empirical results, the monthly adjustment and daily adjustment of weights have little influence on the index, but in terms of standard deviation coefficient, the monthly adjustment index is slightly better than the daily adjustment index. Therefore, in order to balance the stability and authenticity of the index, the research group suggests adjusting the weights at the same time in the sample adjustment at the end of each month. As the weight of next month, if the sample bonds change in that month, the weight should be adjusted in time.
4. Empirical study on interest reinvestment.
In the empirical study, whether interest is reinvested (direct ex-dividend) and at what interest rate are compared. From the descriptive statistics of each index, the differences in mean, standard deviation, skewness, kurtosis and extreme range are very small. From the trend of the index, there is no obvious difference.
5. Conclusion
According to the above empirical results, this topic draws the following conclusions:
(1) The types of sample bonds only include fixed-rate bonds.
(2) The index is weighted by the total market value.
(3) The calculation method can be one of three.
(4) In addition to changes in sample bonds, the weights shall be adjusted at the end of each month.
(5) Interest reinvestment may not be recorded in the index, but if it is recorded in the index, the interest will be reinvested in the index daily according to the bond index yield when it is received, and the interest reinvestment at the end of the month will not be recorded in the index.