可转债市场价格同标的股票价格的相关性研究

发布时间：2018-02-25 09:13

本文关键词： 可转换债券市场价格 Granger因果检验　出处：《对外经济贸易大学》2014年硕士论文　论文类型：学位论文

【摘要】：近年来我国可转换债券市场虽然得到了快速发展，对金融和经济的影响越来越大，但与股票市场的迅速发展极不对称。随着股票市场的进一步发展，迫切需要再融资渠道的创新，而可转换债券正好为发挥这一功效。因此，发展可转换债券市场，通过可转债市场来促进股票市场和证券市场的全面发展，有着重要的意义。本文重点关注可转换债券市场价格和其标的股票价格之间的相互关系，通过对两个市场之间的价格波动关系进行研究，不仅可以了解我国可转换债券市场的波动特征及风险，而且可以利用可转换债券市场与股票市场之间的联动关系为投资者进行正确操作提供依据。针对可转债市场价格同标的股票价格之间的相关性，，本文运用Granger因果关系检验法，对目前正在交易的21支可转债及其标的股票的市场价格进行了实证检验。并对检验结果进行了分类统计，发现我国的可转债的市场价格同标的股票价格之间的相关性具有很大的区别。可转债的发行规模不同，会导致标的股票价格同可转债市场之间的因果关系不同。针对这种检验结果，本文采用可转债市场成交量来替代可转债的发行规模。并对可转债的市场成交量、市场价格及标的股票价格之间再进行Granger因果检验，并对检验结果进行了分类统计。同时，对于检验结果，本文从可转债的持有人结构和标的股票的股东结构方面，再度进行了分析。通过研究分析，本文认为，可转债的市场价格同标的股票价格之间的相互影响关系由于可转债的发行规模不同及持有人结构和股东结构不同而体现除了较大的区别。发行规模较大的可转债市场价格同股票价格之间具有单向的Granger因果关系。中等发行规模的可转债其市场价格同股票价格之间就不具有Granger因果关系。而发行规模较小的可转债，由于容易受到市场波动的影响，所以导致其可转债市场价格同标的股票价格之间的Granger因果检验呈现出来不同的特点。
[Abstract]:In recent years, the convertible bond market in our country has been developed rapidly, which has more and more influence on finance and economy, but it is very asymmetrical with the rapid development of stock market. There is an urgent need for innovation in refinancing channels, and convertible bonds serve this purpose. Therefore, the development of convertible bond markets promotes the overall development of the stock market and the securities market through the market for convertible bonds, This paper focuses on the relationship between the market price of convertible bonds and the underlying stock price. Not only can we understand the fluctuation characteristics and risks of convertible bond market in our country, but also make use of the linkage relationship between convertible bond market and stock market to provide the basis for investors to operate correctly. In view of the correlation between the market price of convertible bonds and the price of the underlying stock, the Granger causality test is used in this paper. The market prices of 21 convertible bonds and their underlying stocks are tested and classified. It is found that there is a great difference between the market price of convertible bonds and the price of underlying stocks, and the different issuance scale of convertible bonds will lead to different causality between the underlying stock prices and the market of convertible bonds. In this paper, the market turnover of convertible bonds is used to replace the issuing scale of convertible bonds, and the Granger causality test is carried out between the market volume, market price and underlying stock price of convertible bonds. At the same time, for the test results, this paper analyzes the holders' structure of convertible bonds and the shareholders' structure of underlying stocks again. Through the research and analysis, this paper holds that, The relationship between the market price of convertible bonds and the price of the underlying stock is different except for the larger issuance of convertible bonds due to the different issuance scale of convertible bonds and the different structure of holders and shareholders. There is a one-way Granger causality between the market price and the stock price. There is no Granger causality between the market price and the stock price. The Granger causality test between the market price of convertible bonds and the underlying stock price presents different characteristics because of its vulnerability to market fluctuations.
【学位授予单位】：对外经济贸易大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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