我国股票与可转换债券市场的波动关系研究

发布时间：2018-01-16 15:00

本文关键词：我国股票与可转换债券市场的波动关系研究　出处：《中国海洋大学》2012年硕士论文　论文类型：学位论文

【摘要】：股票市场和可转换债券市场是金融市场的重要组成部分，可转换债券具有灵活的融资方式、较低的筹资成本、有效避税等特点，对整个金融市场的繁荣和企业核心竞争力的提升发挥着积极的推动作用。研究股票与可转债市场的波动关系，不但可以丰富波动理论体系，对投资者的投资决策提供支持，，而且对金融体系的进一步改革和发展具有参考价值。本文的研究是为了探求股票市场和可转换债券市场之间是否存在长期的波动关系，是什么形式的波动关系，并在此研究基础上，分析市场冲击对其另一个市场的影响。本文首先对可转换债券的基本概念及证券市场波动理论做了介绍，阐述了国内外股票市场与可转换债券市场的发展现状，从理论上分析了市场波动的成因，然后对我国股票市场与可转债市场之间的波动关系进行了详细界定，将其分为两市场间价格、成交量、流动性、收益率四方面的波动。其次阐述了股票与可转债市场波动的度量方法，并结合我国股票与可转换债券市场的实际情况，选取出适合我国股票与可转债市场波动的度量指标。再次对波动关系进行实证分析，分别对两个市场的价格、成交量、流动性、收益率之间的波动进行分析。第一，检验长期均衡关系是否存在，并建立股票市场与可转债市场变量间的向量自回归模型。第二，通过AIC信息准则设定最佳滞后期，验证各个变量之间的因果关系。第三，通过脉冲响应函数和方差分解，考察两市场变量间冲击的相互影响程度。通过实证分析，本文认为我国股票市场与可转换债券市场存在长期协整关系，各个因素对两市场间波动关系的影响程度不一，成交量、流动性方面存在股票市场对可转债市场的引导作用，价格和收益率方面受自身市场的影响显著。两市场间互相的冲击影响作用不一，股票市场冲击对可转债市场的影响较大且影响时间较为持久，而可转债市场对股票市场的冲击影响相对较小。最后，在理论分析和实证研究的基础上，提出本文研究的局限性，并对后续研究工作进行展望。
[Abstract]:The stock market and convertible bond market are important parts of the financial market. Convertible bonds have the characteristics of flexible financing, low financing cost, effective tax avoidance and so on. It plays an active role in promoting the prosperity of the whole financial market and the promotion of the core competitiveness of enterprises. The study of the volatility relationship between stocks and convertible bond markets can not only enrich the volatility theory system. It provides support for investors' investment decision, and has reference value for further reform and development of financial system. The purpose of this study is to find out whether there is a long-term volatility relationship between the stock market and the convertible bond market, and what form of volatility relationship, and on the basis of this study. Analyze the impact of market shocks on another market. This paper first introduces the basic concept of convertible bonds and the volatility theory of securities market, expounds the development status of domestic and foreign stock markets and convertible bond markets, and theoretically analyzes the causes of market volatility. Then the volatility relationship between the stock market and the convertible bond market is defined in detail, which is divided into four aspects: price, turnover, liquidity and return rate between the two markets. Secondly, the paper expounds the measurement method of the volatility of stock and convertible bond market, and combines the actual situation of our country's stock and convertible bond market, selects the measure index suitable for the fluctuation of our country's stock and convertible bond market. Again, the volatility of the relationship between the empirical analysis of the two markets, trading volume, liquidity, the volatility between the rate of return. First, to test the existence of long-term equilibrium relationship. And establish a vector autoregressive model between the stock market and convertible bond market variables. Second, through the AIC information criteria to set the best lag, to verify the causal relationship between the variables. Third. The impulse response function and variance decomposition are used to investigate the impact degree between the two market variables. Through the empirical analysis, this paper believes that there is a long-term cointegration relationship between China's stock market and convertible bond market, and each factor has different influence on the volatility relationship between the two markets. In terms of liquidity there is a guiding role of the stock market to the convertible bond market while the price and the yield are significantly affected by their own market. The impact of the two markets is different from each other. The impact of the impact of the stock market on the convertible bond market is greater and the impact time is longer, while the impact of the convertible bond market on the stock market is relatively small. Finally, on the basis of theoretical analysis and empirical research, the limitations of this study are put forward, and the future research work is prospected.
【学位授予单位】：中国海洋大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F224;F832.51

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