可转债价格与股票价格动态传导关系实证研究——基于多变量协整方法和非对称误差修正模型的检验分析

Empirical Research on Dynamic Transmission between the Price of Convertible Bond and That of Its Underlying Stock——Based on Co-integration and Non-symmetric ECM Model

文章以我国发行的14只可转债自进入转股期至2006年年底的价格数据为样本,运用协整方法和非对称误差修正模型(ECM)对可转换债券价格与基础股票价格之间的动态传导关系进行实证研究。实证结果表明:部分可转债与基础股票价格之间存在长期均衡的协整关系,股票价格领先于可转债价格,其中有些可转债与股票价格之间存在非对称传导现象,而有的可转债与股票价格之间不存在协整关系。

By using the method of co-integration and Asymmetric Error Correction Model, this article makes an empirical research on the dynamical transmission relation between convertible bond and its underlying stock. We find that there is long-run equilibrium co-integration relation between convertible bond and its underlying stock, and the underlying stock leads ahead in price, and some of the convertible bonds have asymmetric transmission with their underlying stocks. While some other convertible bonds have no co-integration with underlying stocks. The article explores the deep reasons for these different phenomena.