本文選題：可轉(zhuǎn)債定價 + 漲跌停板制度　； 參考：《云南財經(jīng)大學(xué)》2013年碩士論文

【摘要】：可轉(zhuǎn)換公司債券，簡稱可轉(zhuǎn)債，具有債券和期權(quán)的雙重性質(zhì)，是一類復(fù)合型的金融衍生產(chǎn)品，目前在我國投融資市場具有重要的地位，已成為我國證券市場不可或缺的組成部分。因此，，對可轉(zhuǎn)債進(jìn)行精確定價一直是微觀金融領(lǐng)域的研究重點之一。國內(nèi)外已有很多學(xué)者從可轉(zhuǎn)債的性質(zhì)出發(fā)，建立了各類定價模型。為了更加準(zhǔn)確給可轉(zhuǎn)債定價，許多學(xué)者不僅從可轉(zhuǎn)債本身的性質(zhì)考慮定價模型，還把可轉(zhuǎn)債的各類附加條款考慮到了定價模型當(dāng)中來。 由于我國證券市場的特殊性，股票市場具有漲跌停板制度，而可轉(zhuǎn)債的標(biāo)的物就是發(fā)行公司的股票，所以漲跌停版制度必然會影響可轉(zhuǎn)債的定價。但是，目前無論是國外還是國內(nèi)研究，都是沒考慮漲跌停板制度對可轉(zhuǎn)債定價的影響。所以，本文的研究方向和創(chuàng)新點就是把股票市場的漲跌停板制度引入到可轉(zhuǎn)債定價模型中來，通過實證分析研究漲跌停板制度對我國可轉(zhuǎn)債定價的影響。 本文第一章介紹了可轉(zhuǎn)債的研究背景、研究意義、研究方法以及本文創(chuàng)新點。 第二章內(nèi)容主要為文獻(xiàn)綜述。分別介紹了國內(nèi)外關(guān)于可轉(zhuǎn)債的定價研究和關(guān)于漲跌停板制度下期權(quán)定價的文獻(xiàn)。介紹可轉(zhuǎn)債定價理論中，首先闡述了國外的可轉(zhuǎn)債定價理論體系，主要分為兩大類結(jié)構(gòu)法和簡單法。然后在國內(nèi)理論研究部分由于國內(nèi)的可轉(zhuǎn)債定價理論是以國外理論為基礎(chǔ)的，所以在國內(nèi)可轉(zhuǎn)債定價模型主要介紹了一些結(jié)合我國實際情況且比較有影響的理論研究內(nèi)容。接著，詳細(xì)說明了有關(guān)漲跌停板制度下的期權(quán)定價理論。 第三章簡要介紹了我國股票漲跌停板制度的歷史和內(nèi)容，以及簡略的介紹了BS模型，提出了BS模型并沒有考慮我國股票市場的漲跌停板制度。接著，選出了認(rèn)為最適合作為可轉(zhuǎn)債期權(quán)部分價值定價的模型，及李萬斌的《具有漲跌停的歐式期權(quán)定價》，建立了關(guān)于標(biāo)的股票在漲跌停板制度下的可轉(zhuǎn)債簡單法單因素定價模型。 第四章就第三章提出的模型進(jìn)行實證分析，對實證結(jié)果進(jìn)行了橫向?qū)Ρ群涂v向?qū)Ρ�。首先就如何選取樣本作了規(guī)定，在橫向?qū)Ρ戎羞x取了14支可轉(zhuǎn)債，在縱向?qū)Ρ戎羞x擇了4只可轉(zhuǎn)債；接著就模型的參數(shù)如何估計和選擇進(jìn)行了說明，無風(fēng)險利率選取了一年期的記賬式國債，而波動率用GARCH（1，1）模型估計。然后把實證結(jié)果與BS簡單法單因素模型定價結(jié)果、實際價格進(jìn)行對比分析，得出了本文建立的模型好于BS簡單法單因素模型，且股票市場的漲跌停板制度對可轉(zhuǎn)債降低了可轉(zhuǎn)債的價值，我國可轉(zhuǎn)債的實際價格可能偏高； 最后第五章，總結(jié)了本文的研究成果即存在的問題，結(jié)合實證結(jié)果給出了一些參考性的政策建議：一、放寬可轉(zhuǎn)債市場的發(fā)行條件，吸引更多企業(yè)特別是高成長企業(yè)發(fā)行可轉(zhuǎn)債；二、進(jìn)一步推進(jìn)和完善我國利率市場化的進(jìn)程�？赊D(zhuǎn)債屬于債券的一種，而影響債券的最重要的因素就是利率；三、簡化可轉(zhuǎn)債某些發(fā)行條款或是讓可轉(zhuǎn)債的發(fā)行條款更具有針對性；四、完善我國企業(yè)的信用評級體系；五、建立一個可信的估值平臺。
[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.
【學(xué)位授予單位】：云南財經(jīng)大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F830.91

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