| Abstract | 第7页 |
| 摘要 | 第8-9页 |
| Introduction | 第9-11页 |
| 1 Chapter One:Background | 第11-14页 |
| 2 Chapter Two: Literature Review | 第14-25页 |
| 2.1 Foreign literature of bond market reaction | 第14-17页 |
| 2.1.1 Symmetric reaction | 第15-16页 |
| 2.1.2 Asymmetric reaction | 第16-17页 |
| 2.1.3 Influence of ownership type | 第17页 |
| 2.2 Domestic literature on bond market reaction | 第17-21页 |
| 2.2.1 Early stage literature on Treasury market | 第18-19页 |
| 2.2.2 Efficiency comparison of segmented markets | 第19-20页 |
| 2.2.3 Bond market asymmetric reaction | 第20-21页 |
| 2.2.4 Influence of ownership type | 第21页 |
| 2.3 Event study approaches | 第21-23页 |
| 2.3.1 Three models in foreign studies | 第22-23页 |
| 2.3.2 Domestic approaches and problems | 第23页 |
| 2.4 Summary and thesis highlights | 第23-25页 |
| 3 Chapter Three: Domestic Market Overview | 第25-35页 |
| 3.1 Overview of Chinese bond market | 第25-26页 |
| 3.2 Three milestones for domestic credit bond market | 第26-27页 |
| 3.3 Current restrictions and problems | 第27-31页 |
| 3.3.1 Segmented bond market with low liquidity | 第27-30页 |
| 3.3.2 Lack of real default and distorted market reaction | 第30-31页 |
| 3.3.3 Questionable and lagged ratings | 第31页 |
| 3.4 Reform measures to improve liquidity and efficiency | 第31-34页 |
| 3.4.1 Lower entry standard | 第32页 |
| 3.4.2 Five unifications for integration | 第32-33页 |
| 3.4.3 Simplification of the approval procedure | 第33-34页 |
| 3.4.4 More diversified market players | 第34页 |
| 3.5 Promising outlook for future development | 第34-35页 |
| 4 Chapter Four: Research Design | 第35-44页 |
| 4.1 Hypotheses and assumptions | 第35-38页 |
| 4.1.1 Efficient market hypothesis | 第35-36页 |
| 4.1.2 Bondholder’s asymmetric reaction towards bad news | 第36-37页 |
| 4.1.3 Reaction to bad news weakened by protection | 第37-38页 |
| 4.2 Data and sample selection | 第38-39页 |
| 4.3 Event window selection | 第39页 |
| 4.4 Definition of good and bad news | 第39-40页 |
| 4.5 Market reaction measured by return and volume | 第40-41页 |
| 4.6 Judgment of asymmetric reaction | 第41-42页 |
| 4.7 Breakdown analysis | 第42-44页 |
| 5 Chapter Five: Empirical Results | 第44-58页 |
| 5.1 Descriptive statistics | 第44-46页 |
| 5.1.1 Sample overview | 第44-45页 |
| 5.1.2 Inflated credit ratings | 第45-46页 |
| 5.1.3 Significance of daily abnormal return | 第46页 |
| 5.2 Qualitative comparison from CAR chart | 第46-51页 |
| 5.2.1 Positive/Negative CAR towards good/bad news | 第47-48页 |
| 5.2.2 Market reaction at early stage is distorted (year 2008) | 第48-50页 |
| 5.2.3 Bond with SOEs background is sensitive to good news | 第50页 |
| 5.2.4 Reaction without SOE-backed is stronger to bad news | 第50-51页 |
| 5.3 Quantitative comparison from regression | 第51-55页 |
| 5.3.1 Reaction is only sensitive towards bad news | 第52-53页 |
| 5.3.2 Reaction in early stage is distorted with inverted CAR | 第53-54页 |
| 5.3.3 SOEs background serves as protection against default | 第54-55页 |
| 5.4 Supporting evidence from trading activity | 第55-58页 |
| 5.4.1 Liquidity is low with abnormality in 2008 | 第55-56页 |
| 5.4.2 Market is sensitive towards bad news | 第56-57页 |
| 5.4.3 Trading activity backed by SOEs is stable and weak | 第57-58页 |
| 6 Chapter Six: Robust Test | 第58-63页 |
| 6.1 Abnormal return calculated based on other indices | 第58-59页 |
| 6.2 Alternative definitions of good and bad news | 第59-61页 |
| 6.3 Breakdown analysis based on guarantee clause | 第61-63页 |
| 7 Chapter Seven: Empirical Results Illustration | 第63-67页 |
| 7.1 Market is progressing with sensible reactions | 第63-64页 |
| 7.2 Reaction is asymmetrically stronger towards bad news | 第64页 |
| 7.3 SOEs background weakens market reaction | 第64-65页 |
| 7.4 Anticipation may be led by information leakage | 第65页 |
| 7.5 Four indispensable factors in macro level | 第65-67页 |
| 8 Chapter Eight:Conclusion and Suggestion | 第67-69页 |
| Bibliography | 第69-72页 |
| Acknowledgments | 第72-73页 |
| 附件 | 第73页 |
