论中国市场上的可转债套利机会

发布时间：2018-05-21 05:32

本文选题：可转债 + 套利空间　；参考：《复旦大学》2014年硕士论文

【摘要】：可转换债券作为一种兼具股性和债性的新型金融工具,在金融市场上具有着独特的地位。我国可转债市场如今处于高速发展期,其不完善的交易制度和中国特色的非有效市场为可转债套利提供了大量的空间。本文通过研究国内外的可转债套利理论,得出可转债主要为单边套利,双边套利和组合套利三种方法。通过对中国可转债市场近十年来的实证数据的研究,探讨中国市场上有哪些已经消失的套利机会和现在仍然存在的套利机会。实证发现,单边套利随着时代的发展已经逐渐消失,而双边套利也随着人们对于可转债的了解变得更加困难。因此,借助新型金融工具进行组合套利一定是未来的方向所在。本文通过构建可转债和融资融券的组合以及可转债和期权的组合,对组合套利进行了一定的研究,并在给出了收益率曲线的情况下,对未来该套利组合适用的情况进行了分析。
[Abstract]:As a new type of financial instrument, convertible bonds have a unique position in the financial market. China's convertible bond market is now in a period of rapid development, its imperfect trading system and non-efficient market with Chinese characteristics provide a lot of space for convertible bond arbitrage. By studying the arbitrage theory of convertible bonds at home and abroad, this paper concludes that convertible bonds are mainly unilateral arbitrage, bilateral arbitrage and combined arbitrage. By studying the empirical data of China's convertible bond market in the past ten years, this paper discusses which arbitrage opportunities have disappeared and the arbitrage opportunities still exist in the Chinese market. Empirical results show that unilateral arbitrage has gradually disappeared with the development of the times, and bilateral arbitrage has become more difficult with the understanding of convertible bonds. Therefore, the use of new financial instruments for portfolio arbitrage must be the future direction. By constructing the combination of convertible bond and margin and the combination of convertible bond and option, this paper makes a certain research on portfolio arbitrage, and analyzes the application of the arbitrage portfolio in the future when the yield curve is given.
【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

【参考文献】