本文關(guān)鍵詞： 可轉(zhuǎn)換債券 市場(chǎng)價(jià)格 Granger因果檢驗(yàn)　出處：《對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

【摘要】：近年來我國(guó)可轉(zhuǎn)換債券市場(chǎng)雖然得到了快速發(fā)展，對(duì)金融和經(jīng)濟(jì)的影響越來越大，但與股票市場(chǎng)的迅速發(fā)展極不對(duì)稱。隨著股票市場(chǎng)的進(jìn)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(chǎng)，通過可轉(zhuǎn)債市場(chǎng)來促進(jìn)股票市場(chǎng)和證券市場(chǎng)的全面發(fā)展，有著重要的意義。本文重點(diǎn)關(guān)注可轉(zhuǎn)換債券市場(chǎng)價(jià)格和其標(biāo)的股票價(jià)格之間的相互關(guān)系，通過對(duì)兩個(gè)市場(chǎng)之間的價(jià)格波動(dòng)關(guān)系進(jìn)行研究，不僅可以了解我國(guó)可轉(zhuǎn)換債券市場(chǎng)的波動(dòng)特征及風(fēng)險(xiǎn)，而且可以利用可轉(zhuǎn)換債券市場(chǎng)與股票市場(chǎng)之間的聯(lián)動(dòng)關(guān)系為投資者進(jìn)行正確操作提供依據(jù)。 針對(duì)可轉(zhuǎn)債市場(chǎng)價(jià)格同標(biāo)的股票價(jià)格之間的相關(guān)性，，本文運(yùn)用Granger因果關(guān)系檢驗(yàn)法，對(duì)目前正在交易的21支可轉(zhuǎn)債及其標(biāo)的股票的市場(chǎng)價(jià)格進(jìn)行了實(shí)證檢驗(yàn)。并對(duì)檢驗(yàn)結(jié)果進(jìn)行了分類統(tǒng)計(jì)，發(fā)現(xiàn)我國(guó)的可轉(zhuǎn)債的市場(chǎng)價(jià)格同標(biāo)的股票價(jià)格之間的相關(guān)性具有很大的區(qū)別�？赊D(zhuǎn)債的發(fā)行規(guī)模不同，會(huì)導(dǎo)致標(biāo)的股票價(jià)格同可轉(zhuǎn)債市場(chǎng)之間的因果關(guān)系不同。 針對(duì)這種檢驗(yàn)結(jié)果，本文采用可轉(zhuǎn)債市場(chǎng)成交量來替代可轉(zhuǎn)債的發(fā)行規(guī)模。并對(duì)可轉(zhuǎn)債的市場(chǎng)成交量、市場(chǎng)價(jià)格及標(biāo)的股票價(jià)格之間再進(jìn)行Granger因果檢驗(yàn)，并對(duì)檢驗(yàn)結(jié)果進(jìn)行了分類統(tǒng)計(jì)。同時(shí)，對(duì)于檢驗(yàn)結(jié)果，本文從可轉(zhuǎn)債的持有人結(jié)構(gòu)和標(biāo)的股票的股東結(jié)構(gòu)方面，再度進(jìn)行了分析。 通過研究分析，本文認(rèn)為，可轉(zhuǎn)債的市場(chǎng)價(jià)格同標(biāo)的股票價(jià)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(chǎng)價(jià)格同股票價(jià)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(chǎng)價(jià)格同股票價(jià)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(chǎng)波動(dòng)的影響，所以導(dǎo)致其可轉(zhuǎn)債市場(chǎng)價(jià)格同標(biāo)的股票價(jià)格之間的Granger因果檢驗(yàn)呈現(xiàn)出來不同的特點(diǎn)。
[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(xué)位授予單位】：對(duì)外經(jīng)濟(jì)貿(mào)易大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51;F224

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