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论文编号：	4121
作者编号：	2120102262
上传时间：	2012/6/1 10:46:32
中文题目：	中国可转换债券市场与股票市场联动关系的实证研究
英文题目：	The Empirical Study of Volatility Linkages between Chinese Convertible Bonds Market and Stock Market
指导老师：	余娟
中文关键字：	可转换债券市场;股票市场;联动性分析
英文关键字：	Convertible Bonds Market;Stock Market;Volatility Linkages Analysis
中文摘要：	可转换公司债券作为我国资本市场上一种再融资工具，开始受到越来越多上市公司的欢迎。在比较常见的三种上市公司再融资方式中，可转换债券融资规模比重越来越大。随着国内金融改革和资本市场的发展，我国的可转换债券市场也获得较大程度地发展。可转换债券市场对上市公司而言，其作用不言而喻。另外，它在完善资本市场，丰富证券市场投资品种，改善投资结构等方面有着十分重要意义。但是，我国现状却是可转换债券市场规模较小，理论研究远远落后于西方发达国家，甚至一些发展中国家。与股票市场相比，可转换债券的研究是十分匮乏的。综观国内已有的对于可转换债券的研究，大多集中在关于可转换债券的定价、投资策略以及相关条款方面，而对于上市公司可转换债券融资行为会对股票带来什么影响，可转换债券与股票市场之间传导效果如何，这方面的研究还比较缺乏，现有的研究也或多或少的存在着不足和缺陷。 本文首先回顾了国内外金融市场间联动关系问题以及关于可转换债券的研究；接着阐述了金融市场间联动的内在机理，分析了中国可转换债券市场与股票市场联动的原因；然后选取沪深300指数和中信标普可转债指数，采用协整检验、格兰杰因果关系检验等方法检验了中国可转换债券市场与股票市场间的联动关系。实证结果表明：我国可转换债券市场与股票市场不存在长期均衡关系；股票市场和可转换债券市场不存在格兰杰因果关系，股票市场指数和可转换债券市场指数没有领先-滞后的关系，但是，可转换债券市场收益与股票市场收益之间存在着相关关系。可以看出我国可转换债券市场和股票市场处于相对隔离的状态。基于实证研究成果，本文根据我国可转换债券市场的实际情况，分析了其中可能的原因，并据此提出了三点政策建议：一是政府应该鼓励发展可转换债券市场，促进可转换债券市场与股票市场的协调发展，逐步完善两市场间的信息传递机制；二是加强可转换债券市场的制度建设，推动制度创新，创造可转换债券市场与股票市场联动的制度纽带；三是，投资者在构建投资组合时，应充分考虑两市场间的联动关系，减少投资失误，提高投资组合收益。
英文摘要：	As a financing tool in capital market, convertible bond is more and more popular with listed companies in China. The convertible bond financing accounts for a large proportion of the three common refinancing mode. With the domestic financial reform and the development of capital market, Chinese convertible bonds market has also obtained great development. The role of Convertible bonds market to listed companies is self-evident. In addition, it has a very important significance to these aspects such as perfecting the capital market, riching the varieties of the securities market and improving the investment structure. However, the situation of Chinese convertible bonds market is that the size of the convertible bonds market is small and theoretical study is far behind the western developed countries, and even some developing countries. Compared with the stock market, the research on convertible bonds market is very scarce. As for the domestic convertible bond research existing, most of them focus on the pricing of convertible bond, investment strategy and related terms. The studies on these things that what can convertible bond financing behavior influence stock and how the dynamic conduction relationship between convertible bonds market and the stock market work are still less. To some extent, available research exist shortcomings and defects. Firstly，this paper reviews the domestic and foreign financial market linkage relationship problems as well as on convertible bond research. Secondly, it elaborates the financial market dynamic transmission mechanism and analyzes the reason that causes the linkage between Chinese convertible bonds market and the stock market. With such methods as Co-movement analysis, Granger Causality Method and Vector Autoregressive (VAR), this paper selects Shanghai and Shenzhen 300 index and the S&P/CITIC convertible bond index as sample to study the dynamic conduction relationship between convertible bonds market and the stock market. The results suggest that there is no co-movement between the S&P/CITIC convertible bond index and HS300 index. The result of Granger causality test shows that there is no significant Granger causality effect on each market. But there is positive correlation between convertible bonds market’s returns and the stock market’s returns. That suggests these two markets have been isolated from each other. Based on the results of the empirical study and the actual situation of our country, this paper analyzes the possible reasons and gives some suggestions as follows: Firstly, the government should encourage the development of the convertible bonds market, promote the convertible bond market and stock market development, and gradually set up the information transmission mechanism between the two markets. Secondly, strengthen the convertible bonds market system construction, promote the innovation of the system, and create linkage system of the convertible bonds market and stock market. Finally, as for investors who construct the portfolio, they should fully consider the co-movement relation between the two markets’ returns so that they can reduce investment error and improve investment returns.
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