标的股票在涨跌停板制度下的可转债定价研究

发布时间：2018-07-04 09:52

本文选题：可转债定价 + 涨跌停板制度　；参考：《云南财经大学》2013年硕士论文

【摘要】：可转换公司债券，简称可转债，具有债券和期权的双重性质，是一类复合型的金融衍生产品，目前在我国投融资市场具有重要的地位，已成为我国证券市场不可或缺的组成部分。因此，，对可转债进行精确定价一直是微观金融领域的研究重点之一。国内外已有很多学者从可转债的性质出发，建立了各类定价模型。为了更加准确给可转债定价，许多学者不仅从可转债本身的性质考虑定价模型，还把可转债的各类附加条款考虑到了定价模型当中来。由于我国证券市场的特殊性，股票市场具有涨跌停板制度，而可转债的标的物就是发行公司的股票，所以涨跌停版制度必然会影响可转债的定价。但是，目前无论是国外还是国内研究，都是没考虑涨跌停板制度对可转债定价的影响。所以，本文的研究方向和创新点就是把股票市场的涨跌停板制度引入到可转债定价模型中来，通过实证分析研究涨跌停板制度对我国可转债定价的影响。本文第一章介绍了可转债的研究背景、研究意义、研究方法以及本文创新点。第二章内容主要为文献综述。分别介绍了国内外关于可转债的定价研究和关于涨跌停板制度下期权定价的文献。介绍可转债定价理论中，首先阐述了国外的可转债定价理论体系，主要分为两大类结构法和简单法。然后在国内理论研究部分由于国内的可转债定价理论是以国外理论为基础的，所以在国内可转债定价模型主要介绍了一些结合我国实际情况且比较有影响的理论研究内容。接着，详细说明了有关涨跌停板制度下的期权定价理论。第三章简要介绍了我国股票涨跌停板制度的历史和内容，以及简略的介绍了BS模型，提出了BS模型并没有考虑我国股票市场的涨跌停板制度。接着，选出了认为最适合作为可转债期权部分价值定价的模型，及李万斌的《具有涨跌停的欧式期权定价》，建立了关于标的股票在涨跌停板制度下的可转债简单法单因素定价模型。第四章就第三章提出的模型进行实证分析，对实证结果进行了横向对比和纵向对比。首先就如何选取样本作了规定，在横向对比中选取了14支可转债，在纵向对比中选择了4只可转债；接着就模型的参数如何估计和选择进行了说明，无风险利率选取了一年期的记账式国债，而波动率用GARCH（1，1）模型估计。然后把实证结果与BS简单法单因素模型定价结果、实际价格进行对比分析，得出了本文建立的模型好于BS简单法单因素模型，且股票市场的涨跌停板制度对可转债降低了可转债的价值，我国可转债的实际价格可能偏高；最后第五章，总结了本文的研究成果即存在的问题，结合实证结果给出了一些参考性的政策建议：一、放宽可转债市场的发行条件，吸引更多企业特别是高成长企业发行可转债；二、进一步推进和完善我国利率市场化的进程。可转债属于债券的一种，而影响债券的最重要的因素就是利率；三、简化可转债某些发行条款或是让可转债的发行条款更具有针对性；四、完善我国企业的信用评级体系；五、建立一个可信的估值平台。
[Abstract]:Switching Company bonds, referred to as convertible bonds, have the dual nature of bonds and options. It is a kind of compound financial derivatives. It has an important position in our investment and financing market and has become an integral part of our country's securities market. Therefore, accurate pricing of convertible bonds has always been a major research in the field of micro finance. A lot of scholars at home and abroad have set up various pricing models from the nature of convertible bonds. In order to make more accurate pricing of convertible bonds, many scholars not only consider the pricing model from the nature of the convertible debt itself, but also take into account the pricing model of all kinds of additional clauses of the convertible bonds.
Due to the particularity of the securities market in China, the stock market has a rise and fall stop system, and the subject of the convertible bond is the stock of the issuing company, so the price of the convertible bond is bound to affect the pricing of the convertible bonds. However, at present, both foreign and domestic studies have not taken care of the effect of the price rise and fall system on the pricing of convertible bonds. The research direction and innovation of this paper is the introduction of the rising and falling board system in the stock market to the convertible bond pricing model. Through the empirical analysis, the effect of the price rise and fall system on the convertible bond pricing in China is studied.
The first chapter introduces the research background, research significance, research methods and innovation of convertible bonds.
The second chapter is mainly the literature review. It introduces the domestic and foreign research on convertible bond pricing and the literature on the option pricing under the rise and fall system. In the introduction of the convertible bond pricing theory, it first expounds the foreign convertible bond pricing theory system, mainly divided into two large category construction methods and simple methods. Then, the domestic theory research department is in the domestic research department. Because the domestic convertible bond pricing theory is based on foreign theory, the domestic convertible bond pricing model mainly introduces some theoretical research content which combines the actual situation of our country and has more influence. Then, it explains the option pricing theory under the rise and fall stop system in detail.
The third chapter briefly introduces the history and content of China's stock and fall board system, and briefly introduces the BS model, puts forward the BS model and does not consider the rise and fall stop system in the stock market of our country. Then, it selects the model which is most suitable to be the part of the value pricing of the convertible option, and Li Wanbin's "the European style with the rise and fall." Option pricing > a simple single factor pricing model for convertible bonds under the limit trading system is established.
The fourth chapter carries out an empirical analysis on the model proposed in the third chapter, and compares the empirical results horizontally and vertically. First, the selection of samples is defined, 14 convertible bonds are selected in the horizontal contrast, and 4 convertible bonds are selected in the longitudinal contrast. Then, how to estimate and select the parameters of the model is explained without the wind. The risk rate selects the one year account debt, and the volatility is estimated with the GARCH (1,1) model. Then the empirical results are compared with the BS simple single factor model pricing results and the actual price. The model is better than the single factor model of the BS simple method, and the stock market's rise and fall stop system reduces the convertible bond. The actual value of convertible bonds in China may be high.
In the last fifth chapters, we sum up the existing problems in this paper, and give some reference suggestions on the basis of the empirical results: first, to relax the issuing conditions of the convertible bond market, to attract more enterprises, especially high growth enterprises to issue convertible bonds; two, to further promote and improve the process of interest rate marketization in China. One of the bonds, and the most important factor that affects the bond is the interest rate; three, to simplify some of the issuing clauses of convertible bonds or to make the issuance of convertible bonds more pertinent; four, improve the credit rating system of our enterprises; and five, to establish a credible valuation platform.
【学位授予单位】：云南财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F830.91

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