可交换债券发行对上市公司股价的影响研究

发布时间：2018-03-05 23:04

本文选题：可交换债券　切入点：股价波动　出处：《哈尔滨工业大学》2017年硕士论文　论文类型：学位论文

【摘要】：2013年10月14日,第一支中小企业可交换私募债券(简称“13福星债”)成功发行,并于次年全部换股,这一事件标志着可交换债券重新登上中国金融市场的舞台,同时对于完善中国金融市场具有重大意义。如今可交换债券运行已有三年,其推行对于股票市场的影响如何有待研究。因此本文从可交换债券发行对上市公司股价影响的角度出发,分析中国市场可交换债券的发行是否引起股价剧烈波动,以此来揭示可交换债券的现实作用,为其今后广泛推行提供一定的实证分析基础。本文通过参考大量相关及类似研究文献,将可交换债券发行对上市公司股价的影响分为短期影响和中长期影响两个阶段进行研究。鉴于中国可交换债券上市时间短,理论基础较薄弱,因此本文先对可交换债券的概念、市场状况、基本功能等进行理论阐述,为实证部分奠定基础。实证分析部分主要阐述通过样本筛选过程获得清洁样本,然后根据清洁样本获取对应标的股票近两年的每日价格数据,通过事件研究法和t检验研究短期影响,再把事件研究法与GARCH模型修正的CAPM模型相结合,经过ADF检验、残差项自相关检验、条件异方差检验、Wilcoxon符号秩检验等过程研究中长期影响。研究结果发现不论是从短期影响角度还是从中长期影响角度,可交换债券的发行不仅不会造成上市公司的股价剧烈波动,而且还具有稳定股价的作用。
[Abstract]:In October 14th 2013, the first SME exchangeable private equity bond ("13 bliss bonds") was successfully issued, and the following year, the event marked the return of exchangeable bonds to the stage of Chinese financial markets. It is also of great significance to the improvement of China's financial markets. Today, exchangeable bonds have been in operation for three years. Therefore, from the point of view of the influence of the issue of exchangeable bonds on the stock price of listed companies, this paper analyzes whether the issuance of exchangeable bonds in China market will cause sharp fluctuations in stock prices. In order to reveal the practical role of exchangeable bonds and provide a certain empirical analysis basis for its extensive implementation in the future, this paper refers to a large number of related and similar research literature. The impact of exchangeable bond issuance on the stock price of listed companies is divided into two stages: the short-term impact and the medium- and long-term impact. In view of the short listing time and the weak theoretical basis of China's exchangeable bonds, this paper first discusses the concept of exchangeable bonds. The market condition, basic function and so on are expounded in theory, which lays the foundation for the empirical part. The empirical analysis part mainly states that the clean sample can be obtained through the sample screening process. Then according to the clean sample to obtain the daily price data of the corresponding stock for nearly two years, through the event research method and t test to study the short-term influence, and then combine the event research method with the modified CAPM model of GARCH model, and pass the ADF test. The residual term autocorrelation test, conditional heteroscedasticity test and Wilcoxon sign rank test were used to study the medium and long term effects. The issuance of exchangeable bonds not only does not cause the stock price of listed companies to fluctuate sharply, but also has the function of stabilizing the stock price.
【学位授予单位】：哈尔滨工业大学
【学位级别】：硕士
【学位授予年份】：2017
【分类号】：F832.51

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