中国可转换债券市场受股市、债市影响的实证研究

发布时间：2018-01-02 09:07

本文关键词：中国可转换债券市场受股市、债市影响的实证研究　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：可转换债券作为一种金融产品,其最大的特点是同时具有股票和债券的属性。经过100多年的发展和完善,其在美国等金融发达的市场已相当成熟,并且起着非常重要的作用。可转换债券在20世纪90年代初被引入中国,目前仍处于起步阶段,但是发展相当迅速,并受到了越来越多的关注,市场上投资者对该产品的需求越来越大,可转换债券在中国市场有着巨大的发展潜力。当前中国可转换债券市场的特点是规模小、产品少、机制不完善,投资者对该产品的认识不充分。本文根据可转换债券本身的特点及其价值构成,以其股票和债券双重属性作为出发点,从市场层面进行切入,采用实证方法研究国内可转换债券市场受股市和债市的影响,并比较股市和整体债市对其影响的程度,从而对可转换债券的双重属性有一个更深刻的认识。本文首先从长期的角度来研究股市和债市对可转换债券市场的影响,以指数价格来代表相关市场的整体情况,采用ADF单位根检验、Granger因果检验、VAR模型、脉冲响应函数和方差分解等检验分析方法,对本文涉及的相关问题进行研究分析。之后,本文根据股票市场的牛市、熊市和低位运行三种市场状态,将样本区间细分为三个子样本区间,然后采用相同的研究方法分别在三个子样本区间内对相关问题进行研究分析。本文的研究结论为：1、从长期来看,股票市场对可转换债券市场有很强的同向变动的影响,而债券市场对其几乎没有影响；2、当股票市场处于牛市阶段时,股票市场对可转换债券市场的影响达到最强,两个市场同向变化,而债券市场对其的影响几乎可以忽略不计；3、当股票市场处于熊市阶段时,股票市场对可转换债券市场的影响仍然很强,而且影响是同向的,债券市场对其的影响非常微弱；4、当股票市场处于低位运行阶段时,股票市场和债券市场同时对可转换债券市场有影响,而且都是同向影响,但股票市场的影响程度要大于债券市场。最后本文基于实证研究的结果并结合中国市场的实际情况,给出了政策建议和市场投资策略的建议。
[Abstract]:As a kind of financial product, convertible bonds have the attributes of both stocks and bonds. After more than 100 years of development and improvement, they have been quite mature in the United States and other financial developed markets. Convertible bonds, which were introduced into China at the beginning of 1990s, are still in their infancy, but they are developing rapidly and attracting more and more attention. Investors in the market demand for this product more and more, convertible bonds in the Chinese market has a great potential for development. At present, the characteristics of China's convertible bond market are small scale, few products, and imperfect mechanism. According to the characteristics of convertible bonds and their value composition, this paper takes the dual attributes of stocks and bonds as the starting point, from the market level to cut into. The empirical method is used to study the influence of the domestic convertible bond market on the stock market and the bond market, and to compare the impact of the stock market and the overall bond market. Therefore, there is a deeper understanding of the dual attributes of convertible bonds. Firstly, this paper studies the impact of the stock market and bond market on the convertible bond market from a long-term perspective. The index price is used to represent the whole situation of the relevant market, and the ADF unit root test / Granger causality test is used to test and analyze the model, impulse response function and variance decomposition. Then, according to the stock market bull market, bear market and low run three market states, the sample interval is subdivided into three sub-sample intervals. Then using the same research method in the three sub-sample interval to study and analyze the related problems. The conclusion of this paper is: 1, in the long run. The stock market has a strong codirectional effect on the convertible bond market, but the bond market has little effect on it. 2, when the stock market is in the bull stage, the influence of the stock market on the convertible bond market is the strongest, the two markets change in the same direction, but the influence of the bond market on the convertible bond market is almost negligible; 3, when the stock market is in the bear market stage, the influence of the stock market on the convertible bond market is still very strong, and the influence is the same, and the influence of the bond market is very weak; 4, when the stock market is in the low operating stage, the stock market and the bond market have influence on the convertible bond market at the same time, and both have the same influence. However, the influence of stock market is greater than that of bond market. Finally, based on the results of empirical research and the actual situation of Chinese market, this paper gives some suggestions on policy and market investment strategy.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51

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