我国可转换债券市场弱式效能的分析

An Analysis on Efficiency of Convertible Bond Market of China

本文以目前沪深两市挂牌交易的31只可转换债券和可转换债券指数为研究样本,采用时间序列自相关检验法对我国可转债市场的弱式有效性问题进行了实证分析;提出价格函数和投资增值概念;得出目前我国可转债市场尚未达到弱式有效层次的结论。

The paper makes an empirical analysis, with the method of test for sequential autocorrelation, of whether the convertible bond market in our country has assumed the weak form of efficient market, using as samples all the 31 convertible bonds in Shanghai and Shenzhen Stock Exchanges. And the paper proposes the concept of price function and investment increment, and includes that it isn't confirmed whether the convertible bond market of our country presents weak-form efficiency.