我国上市公司可转债的公告效应和对股价波动率的影响研究

发布时间：2018-01-09 18:14

本文关键词：我国上市公司可转债的公告效应和对股价波动率的影响研究　出处：《复旦大学》2014年硕士论文　论文类型：学位论文

【摘要】：我国可转换债券发展起步较晚,发展速度也并不快。2001年至2013年末,我国上市公司共发行约100支可转债。相对于发达国家市场常见的公司债和可转债,A股上市公司明显更偏好股权融资方式。而在2008年金融危机后,资本市场风险溢价上升,股权融资成本高涨,上市公司和投资者都对可转换债券给予更多的关注。可转换债券兼具债券和股票的特征,是一种特殊的融资方式。国内外学者研究表明,上市公司采取可转债方式进行融资时,会对股价造成一定影响。同时,可转债的可转股特性也可能对股价波动率产生作用。在上述背景下,本文以2001年开始我国上市公司全部已发行可转债为基础,选取68家公司发行的81支可转债作为清洁样本,试图研究A股市场中可转债发行的公告效应以及对股价波动率的影响,以期为上市公司融资决策、投资者研究分析以及我国资本市场健全发展提供帮助。本文采用事件研究法,计算股价和指数变动率,以发行公告日为基准日,研究窗口期不超过前后5个交易日的可转债发行公告效应。研究表明,在不同窗口期的公告效应并不一致；在公告日及之前会有正公告效应,且在公告日前后1个交易日最强；公告日之后出现的负异常收益会抵消之前的大部分正异常收益,使得公告效应不再显著。金融危机后,上述收益变化更加显著和陡峭。同时,本文根据带有GARCH模型修正的市场模型拟合每一支样本在公告日前6个月、公告日后6个月以及公告日后7到12个月的股价波动率。使用Wilcoxon符号秩检验样本组的三组数据差异,发现在上市公司股价波动率在发行公告日后以及可转股后逐步扩大。其中,公告日后7到12个月与公告日前6个月的股价波动率差异是显著的。
[Abstract]:The development of convertible bonds in China started late, and the speed of development is not fast. 2001 to end of 2013. There are about 100 convertible bonds issued by listed companies in China. Compared with the common corporate bonds and convertible bonds in developed countries, A-share listed companies obviously prefer equity financing methods. In 2008, after the financial crisis, A-share listed companies preferred equity financing. Capital market risk premium rises, equity financing costs rise, listed companies and investors pay more attention to convertible bonds. Convertible bonds have the characteristics of both bonds and stocks. Domestic and foreign scholars have shown that when listed companies use convertible bonds to finance, it will have a certain impact on the stock price. At the same time. The convertible stock characteristics of convertible bonds may also play a role in the volatility of stock price. Under the above background, this article based on the 2001 listed companies have issued all convertible bonds. Taking 81 convertible bonds issued by 68 companies as a clean sample, this paper tries to study the announcement effect of convertible bond issuance in A share market and its influence on the volatility of stock price in order to make financing decisions for listed companies. Investor research and analysis as well as the sound development of China's capital market to help. This paper uses the event study method to calculate the stock price and index change rate, taking the date of issue announcement as the reference date. The paper studies the announcement effect of convertible bond issuance with window period not exceeding 5 trading days. The research shows that the announcement effect in different window period is not consistent; There will be positive announcement effect on and before the announcement day, and the strongest one trading day before and after the announcement day; Negative abnormal returns after the announcement date will offset most of the previous positive abnormal returns, making the announcement no longer significant. After the financial crisis, the changes in these returns are more significant and steep. At the same time. According to the market model modified by GARCH model, each sample was fitted six months before the announcement date. Stock price volatility at 6 months after the announcement and 7 to 12 months after the announcement. Three sets of data differences in the sample group were tested using the Wilcoxon symbolic rank test. It is found that the volatility of the stock price of the listed company increases gradually after the issuance of the announcement and after the issue of the shares can be converted. Among them, there is a significant difference between the volatility of the stock price of the listed company from 7 to 12 months after the announcement and the six months before the announcement date.
【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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