本文關(guān)鍵詞：中國(guó)可轉(zhuǎn)換債券市場(chǎng)受股市、債市影響的實(shí)證研究　出處：《復(fù)旦大學(xué)》2014年碩士論文　論文類型：學(xué)位論文

  更多相關(guān)文章： 可轉(zhuǎn)換債券市場(chǎng) 股票市場(chǎng) 債券市場(chǎng) 影響

【摘要】：可轉(zhuǎn)換債券作為一種金融產(chǎn)品,其最大的特點(diǎn)是同時(shí)具有股票和債券的屬性。經(jīng)過(guò)100多年的發(fā)展和完善,其在美國(guó)等金融發(fā)達(dá)的市場(chǎng)已相當(dāng)成熟,并且起著非常重要的作用。可轉(zhuǎn)換債券在20世紀(jì)90年代初被引入中國(guó),目前仍處于起步階段,但是發(fā)展相當(dāng)迅速,并受到了越來(lái)越多的關(guān)注,市場(chǎng)上投資者對(duì)該產(chǎn)品的需求越來(lái)越大,可轉(zhuǎn)換債券在中國(guó)市場(chǎng)有著巨大的發(fā)展?jié)摿�。�?dāng)前中國(guó)可轉(zhuǎn)換債券市場(chǎng)的特點(diǎn)是規(guī)模小、產(chǎn)品少、機(jī)制不完善,投資者對(duì)該產(chǎn)品的認(rèn)識(shí)不充分。本文根據(jù)可轉(zhuǎn)換債券本身的特點(diǎn)及其價(jià)值構(gòu)成,以其股票和債券雙重屬性作為出發(fā)點(diǎn),從市場(chǎng)層面進(jìn)行切入,采用實(shí)證方法研究國(guó)內(nèi)可轉(zhuǎn)換債券市場(chǎng)受股市和債市的影響,并比較股市和整體債市對(duì)其影響的程度,從而對(duì)可轉(zhuǎn)換債券的雙重屬性有一個(gè)更深刻的認(rèn)識(shí)。本文首先從長(zhǎng)期的角度來(lái)研究股市和債市對(duì)可轉(zhuǎn)換債券市場(chǎng)的影響,以指數(shù)價(jià)格來(lái)代表相關(guān)市場(chǎng)的整體情況,采用ADF單位根檢驗(yàn)、Granger因果檢驗(yàn)、VAR模型、脈沖響應(yīng)函數(shù)和方差分解等檢驗(yàn)分析方法,對(duì)本文涉及的相關(guān)問(wèn)題進(jìn)行研究分析。之后,本文根據(jù)股票市場(chǎng)的牛市、熊市和低位運(yùn)行三種市場(chǎng)狀態(tài),將樣本區(qū)間細(xì)分為三個(gè)子樣本區(qū)間,然后采用相同的研究方法分別在三個(gè)子樣本區(qū)間內(nèi)對(duì)相關(guān)問(wèn)題進(jìn)行研究分析。本文的研究結(jié)論為：1、從長(zhǎng)期來(lái)看,股票市場(chǎng)對(duì)可轉(zhuǎn)換債券市場(chǎng)有很強(qiáng)的同向變動(dòng)的影響,而債券市場(chǎng)對(duì)其幾乎沒(méi)有影響；2、當(dāng)股票市場(chǎng)處于牛市階段時(shí),股票市場(chǎng)對(duì)可轉(zhuǎn)換債券市場(chǎng)的影響達(dá)到最強(qiáng),兩個(gè)市場(chǎng)同向變化,而債券市場(chǎng)對(duì)其的影響幾乎可以忽略不計(jì)；3、當(dāng)股票市場(chǎng)處于熊市階段時(shí),股票市場(chǎng)對(duì)可轉(zhuǎn)換債券市場(chǎng)的影響仍然很強(qiáng),而且影響是同向的,債券市場(chǎng)對(duì)其的影響非常微弱；4、當(dāng)股票市場(chǎng)處于低位運(yùn)行階段時(shí),股票市場(chǎng)和債券市場(chǎng)同時(shí)對(duì)可轉(zhuǎn)換債券市場(chǎng)有影響,而且都是同向影響,但股票市場(chǎng)的影響程度要大于債券市場(chǎng)。最后本文基于實(shí)證研究的結(jié)果并結(jié)合中國(guó)市場(chǎng)的實(shí)際情況,給出了政策建議和市場(chǎng)投資策略的建議。
[Abstract]:As a kind of financial product, convertible bonds have the attributes of both stocks and bonds. After more than 100 years of development and improvement, they have been quite mature in the United States and other financial developed markets. Convertible bonds, which were introduced into China at the beginning of 1990s, are still in their infancy, but they are developing rapidly and attracting more and more attention. Investors in the market demand for this product more and more, convertible bonds in the Chinese market has a great potential for development. At present, the characteristics of China's convertible bond market are small scale, few products, and imperfect mechanism. According to the characteristics of convertible bonds and their value composition, this paper takes the dual attributes of stocks and bonds as the starting point, from the market level to cut into. The empirical method is used to study the influence of the domestic convertible bond market on the stock market and the bond market, and to compare the impact of the stock market and the overall bond market. Therefore, there is a deeper understanding of the dual attributes of convertible bonds. Firstly, this paper studies the impact of the stock market and bond market on the convertible bond market from a long-term perspective. The index price is used to represent the whole situation of the relevant market, and the ADF unit root test / Granger causality test is used to test and analyze the model, impulse response function and variance decomposition. Then, according to the stock market bull market, bear market and low run three market states, the sample interval is subdivided into three sub-sample intervals. Then using the same research method in the three sub-sample interval to study and analyze the related problems. The conclusion of this paper is: 1, in the long run. The stock market has a strong codirectional effect on the convertible bond market, but the bond market has little effect on it. 2, when the stock market is in the bull stage, the influence of the stock market on the convertible bond market is the strongest, the two markets change in the same direction, but the influence of the bond market on the convertible bond market is almost negligible; 3, when the stock market is in the bear market stage, the influence of the stock market on the convertible bond market is still very strong, and the influence is the same, and the influence of the bond market is very weak; 4, when the stock market is in the low operating stage, the stock market and the bond market have influence on the convertible bond market at the same time, and both have the same influence. However, the influence of stock market is greater than that of bond market. Finally, based on the results of empirical research and the actual situation of Chinese market, this paper gives some suggestions on policy and market investment strategy.
【學(xué)位授予單位】：復(fù)旦大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F832.51

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