本文關(guān)鍵詞： 可轉(zhuǎn)換債券 市場價格 Granger因果檢驗　出處：《對外經(jīng)濟貿(mào)易大學》2014年碩士論文　論文類型：學位論文

【摘要】：近年來我國可轉(zhuǎn)換債券市場雖然得到了快速發(fā)展，對金融和經(jīng)濟的影響越來越大，但與股票市場的迅速發(fā)展極不對稱。隨著股票市場的進一步發(fā)展，迫切需要再融資渠道的創(chuàng)新，而可轉(zhuǎn)換債券正好為發(fā)揮這一功效。因此，發(fā)展可轉(zhuǎn)換債券市場，通過可轉(zhuǎn)債市場來促進股票市場和證券市場的全面發(fā)展，有著重要的意義。本文重點關(guān)注可轉(zhuǎn)換債券市場價格和其標的股票價格之間的相互關(guān)系，通過對兩個市場之間的價格波動關(guān)系進行研究，不僅可以了解我國可轉(zhuǎn)換債券市場的波動特征及風險，而且可以利用可轉(zhuǎn)換債券市場與股票市場之間的聯(lián)動關(guān)系為投資者進行正確操作提供依據(jù)。 針對可轉(zhuǎn)債市場價格同標的股票價格之間的相關(guān)性，，本文運用Granger因果關(guān)系檢驗法，對目前正在交易的21支可轉(zhuǎn)債及其標的股票的市場價格進行了實證檢驗。并對檢驗結(jié)果進行了分類統(tǒng)計，發(fā)現(xiàn)我國的可轉(zhuǎn)債的市場價格同標的股票價格之間的相關(guān)性具有很大的區(qū)別。可轉(zhuǎn)債的發(fā)行規(guī)模不同，會導致標的股票價格同可轉(zhuǎn)債市場之間的因果關(guān)系不同。 針對這種檢驗結(jié)果，本文采用可轉(zhuǎn)債市場成交量來替代可轉(zhuǎn)債的發(fā)行規(guī)模。并對可轉(zhuǎn)債的市場成交量、市場價格及標的股票價格之間再進行Granger因果檢驗，并對檢驗結(jié)果進行了分類統(tǒng)計。同時，對于檢驗結(jié)果，本文從可轉(zhuǎn)債的持有人結(jié)構(gòu)和標的股票的股東結(jié)構(gòu)方面，再度進行了分析。 通過研究分析，本文認為，可轉(zhuǎn)債的市場價格同標的股票價格之間的相互影響關(guān)系由于可轉(zhuǎn)債的發(fā)行規(guī)模不同及持有人結(jié)構(gòu)和股東結(jié)構(gòu)不同而體現(xiàn)除了較大的區(qū)別。發(fā)行規(guī)模較大的可轉(zhuǎn)債市場價格同股票價格之間具有單向的Granger因果關(guān)系。中等發(fā)行規(guī)模的可轉(zhuǎn)債其市場價格同股票價格之間就不具有Granger因果關(guān)系。而發(fā)行規(guī)模較小的可轉(zhuǎn)債，由于容易受到市場波動的影響，所以導致其可轉(zhuǎn)債市場價格同標的股票價格之間的Granger因果檢驗呈現(xiàn)出來不同的特點。
[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.
【學位授予單位】：對外經(jīng)濟貿(mào)易大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F224

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