本文選題：可轉(zhuǎn)債 + 套利空間��； 參考：《復(fù)旦大學(xué)》2014年碩士論文

【摘要】：可轉(zhuǎn)換債券作為一種兼具股性和債性的新型金融工具,在金融市場(chǎng)上具有著獨(dú)特的地位。我國(guó)可轉(zhuǎn)債市場(chǎng)如今處于高速發(fā)展期,其不完善的交易制度和中國(guó)特色的非有效市場(chǎng)為可轉(zhuǎn)債套利提供了大量的空間。本文通過(guò)研究國(guó)內(nèi)外的可轉(zhuǎn)債套利理論,得出可轉(zhuǎn)債主要為單邊套利,雙邊套利和組合套利三種方法。通過(guò)對(duì)中國(guó)可轉(zhuǎn)債市場(chǎng)近十年來(lái)的實(shí)證數(shù)據(jù)的研究,探討中國(guó)市場(chǎng)上有哪些已經(jīng)消失的套利機(jī)會(huì)和現(xiàn)在仍然存在的套利機(jī)會(huì)。實(shí)證發(fā)現(xiàn),單邊套利隨著時(shí)代的發(fā)展已經(jīng)逐漸消失,而雙邊套利也隨著人們對(duì)于可轉(zhuǎn)債的了解變得更加困難。因此,借助新型金融工具進(jìn)行組合套利一定是未來(lái)的方向所在。本文通過(guò)構(gòu)建可轉(zhuǎn)債和融資融券的組合以及可轉(zhuǎn)債和期權(quán)的組合,對(duì)組合套利進(jìn)行了一定的研究,并在給出了收益率曲線的情況下,對(duì)未來(lái)該套利組合適用的情況進(jìn)行了分析。
[Abstract]:As a new type of financial instrument, convertible bonds have a unique position in the financial market. China's convertible bond market is now in a period of rapid development, its imperfect trading system and non-efficient market with Chinese characteristics provide a lot of space for convertible bond arbitrage. By studying the arbitrage theory of convertible bonds at home and abroad, this paper concludes that convertible bonds are mainly unilateral arbitrage, bilateral arbitrage and combined arbitrage. By studying the empirical data of China's convertible bond market in the past ten years, this paper discusses which arbitrage opportunities have disappeared and the arbitrage opportunities still exist in the Chinese market. Empirical results show that unilateral arbitrage has gradually disappeared with the development of the times, and bilateral arbitrage has become more difficult with the understanding of convertible bonds. Therefore, the use of new financial instruments for portfolio arbitrage must be the future direction. By constructing the combination of convertible bond and margin and the combination of convertible bond and option, this paper makes a certain research on portfolio arbitrage, and analyzes the application of the arbitrage portfolio in the future when the yield curve is given.
【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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本文編號(hào)：1917939