本文選題：可交換債券　切入點(diǎn)：股價(jià)波動(dòng)　出處：《哈爾濱工業(yè)大學(xué)》2017年碩士論文　論文類型：學(xué)位論文

【摘要】：2013年10月14日,第一支中小企業(yè)可交換私募債券(簡(jiǎn)稱“13福星債”)成功發(fā)行,并于次年全部換股,這一事件標(biāo)志著可交換債券重新登上中國(guó)金融市場(chǎng)的舞臺(tái),同時(shí)對(duì)于完善中國(guó)金融市場(chǎng)具有重大意義。如今可交換債券運(yùn)行已有三年,其推行對(duì)于股票市場(chǎng)的影響如何有待研究。因此本文從可交換債券發(fā)行對(duì)上市公司股價(jià)影響的角度出發(fā),分析中國(guó)市場(chǎng)可交換債券的發(fā)行是否引起股價(jià)劇烈波動(dòng),以此來揭示可交換債券的現(xiàn)實(shí)作用,為其今后廣泛推行提供一定的實(shí)證分析基礎(chǔ)。本文通過參考大量相關(guān)及類似研究文獻(xiàn),將可交換債券發(fā)行對(duì)上市公司股價(jià)的影響分為短期影響和中長(zhǎng)期影響兩個(gè)階段進(jìn)行研究。鑒于中國(guó)可交換債券上市時(shí)間短,理論基礎(chǔ)較薄弱,因此本文先對(duì)可交換債券的概念、市場(chǎng)狀況、基本功能等進(jìn)行理論闡述,為實(shí)證部分奠定基礎(chǔ)。實(shí)證分析部分主要闡述通過樣本篩選過程獲得清潔樣本,然后根據(jù)清潔樣本獲取對(duì)應(yīng)標(biāo)的股票近兩年的每日價(jià)格數(shù)據(jù),通過事件研究法和t檢驗(yàn)研究短期影響,再把事件研究法與GARCH模型修正的CAPM模型相結(jié)合,經(jīng)過ADF檢驗(yàn)、殘差項(xiàng)自相關(guān)檢驗(yàn)、條件異方差檢驗(yàn)、Wilcoxon符號(hào)秩檢驗(yàn)等過程研究中長(zhǎng)期影響。研究結(jié)果發(fā)現(xiàn)不論是從短期影響角度還是從中長(zhǎng)期影響角度,可交換債券的發(fā)行不僅不會(huì)造成上市公司的股價(jià)劇烈波動(dòng),而且還具有穩(wěn)定股價(jià)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.
【學(xué)位授予單位】：哈爾濱工業(yè)大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2017
【分類號(hào)】：F832.51

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本文編號(hào)：1572266