可转换公司债券价格与基础股票价格之间协整关系的实证研究

Empirical Research on the Co-integration Relationship Between the Price of Convertible Bond and the Price of Its Underlying Stock

本文运用协整方法和非对称误差修正模型(ECM)对可转债价格和基础股票价格之间的动态传导关系进行了系统的实证探讨,发现我国可转债市场价格和基础股票价格之间存在长期均衡的协整关系,并且股票价格领先于可转债价格。本文认为我国可转债价格与基础股票价格之间存在着联动效应,这种联动效应存在着明显的阶段特征,并且转债价格与转股价值之间存在非对称传导现象。本文分析了这种联动效应及非对称传导的原因,指出由于套利机会的出现使转债价格不会偏离转股价值太远。

By using the method of co-integration and Error Correction Model, this article analyzes the co-integration between convertible bond and its underlying stock, then explores whether co-actions are phrase-characteristic and the reasons if there exist co-actions. On the basis of this empirical analysis, the article points out that with the rapid development of convertible bonds market, the price of a convertible bond and the price of its underlying stock have a long-term and equilibrium relationship, and the stock leads ahead of its corresponding convertible bond in price.