关键词: 收益可预测性, 样本内预测, 样本外预测, 市场分割

Abstract: This paper studies the insample and outofsample predictability of China's bond market index, term structure premium and exchange premium. Constructing 27 variables from macrolevel, marketlevel and microlevels and generating 6 principal components as prediction variables via principal component analysis (PCA), this paper finds that there is significant predictability in China's bond market on its composite index conditional on different proxies after stripping out special bonds. The prediction variable based on principal component extraction has a stronger forecasting ability, and some macroeconomic indicators and marketlevel indicators can predict the risk premium of bond market. The first principal component extracted based on 27 indicators has a strong predictive ability for term premium and exchange premium in the sample, but a poor predictive ability for outofsample. The conclusion of this paper shows that China's bond market is vulnerable to the impact of macroeconomy, and there is no great difference in market functions between the interbank market and the exchange market. The separation of the two markets deepens with the fluctuation of the bond market.

Key words: return predictability, insample return predictability, outofsample return predictability, market segmentation  ,