当前可转换公司债券价格特性实证分析

发布时间：2018-06-20 05:12

本文选题：可转换公司债券 + 价格特性　；参考：《青岛大学》2012年硕士论文

【摘要】：可转换公司债券市场是一国证券市场的重要组成部分。我国的可转债市场起步较晚,但随着我国证券市场的快速崛起和资本市场的多样需求,可转债市场也得到了长足的发展,并且具有广阔的发展空间和快速的增长潜力。可转换公司债券是一种混合金融产品。它是一种混合了多种期权的特殊的公司债券,除最为明显的转股期权外,往往还设有赎回期权、回售期权,并往往还设计有转股价格向下修正条款。由于债权和转股期权的存在,使得可转换公司债券的市场价格与其债券价格尤其是其基础股票价格存在着相关性,但由于可转换公司债券组成的复杂性,尤其是其中某些如转股价格向下修正条款的不确定性,又使得这些相关性在不同的时期、不同的市场环境中随时发生着变化。本文从实证的角度出发,对近期一年来可转换公司债券市场与债券市场、股票市场的相关性进行了实证和分析,以期发现可转换公司债券当前的价格特性,并为相关理论研究提供实证参考资料。也为证券市场投资者提供可转换公司债券投资选择参考资料。本文研究验证了近一年来可转换公司债券的价格符合纯债价值是向下封底价格的理论特性,验证了近一年来可转换公司债券价格与其股票价格整体上较高的相关性,也验证了可转换公司债券价格较其纯债价值的溢价空间、可转换公司债券价格与其股票价格之间的相关性受到股票市场变化、债券市场变化的影响,尤其是去年9月的石化转债2.0版事件由于对可转债市场的基本投资理念形成了冲击,显著影响了可转换公司债券二级市场的价格。同时,本文的研究从某一角度推证了当前市场要求的无风险收益率水平约为5%的参考数据。
[Abstract]:Convertible bond market is an important part of a country's securities market. The convertible bond market in China starts late, but with the rapid rise of the securities market and the diversified demand of the capital market, the convertible bond market has also got considerable development, and has broad development space and rapid growth potential. Convertible corporate bonds are a mixed financial product. It is a special corporate bond mixed with many kinds of options. In addition to the most obvious convertible options, there are also redemption options, return options, and a downward correction clause for the conversion price. Due to the existence of creditor's rights and convertible options, the market price of convertible corporate bonds is related to their bond prices, especially the underlying stock prices. However, due to the complexity of the composition of convertible corporate bonds, In particular, the uncertainty of some of them, such as the downward correction clause, makes these correlations change at different times and in different market environment. In this paper, the correlation between convertible corporate bond market, bond market and stock market in recent years is analyzed from the perspective of empirical analysis, in order to find out the current price characteristics of convertible corporate bonds. And provides the empirical reference for the related theoretical research. Also for investors in the securities market to provide convertible corporate bond investment options reference materials. This paper verifies that the price of convertible corporate bonds conforms to the theoretical characteristics that the value of pure bonds is the downward bottom price in recent years, and verifies the high correlation between the price of convertible corporate bonds and their stock prices as a whole. It also verifies the premium space between convertible corporate bond price and its pure bond value. The correlation between convertible corporate bond price and its stock price is affected by the change of stock market and bond market. In particular, the petrochemical bond conversion version 2.0 event in September of last year has significantly affected the secondary market prices of convertible corporate bonds because of the impact on the basic investment concept of the convertible bond market. At the same time, this paper deduces the reference data of the risk-free return level of about 5% which is required by the market from a certain point of view.
【学位授予单位】：青岛大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51

【参考文献】