基于时间序列模型的可转换债券收益率的实证研究

The Empirical Research on the Return Rate of Convertible Bond Based on Time Series Model

本文利用时间序列模型对2009年5月25日沪市上还在交易的全部7只可转换债券的收益率进行了实证研究,结果发现通过时间序列模型模拟得到的可转换债券收益率与实际收益率还存在一定的误差,最后对产生此误差的原因进行了分析。

In this paper,the empirical research on the rate of return about convertible bond,which are all convertible bonds that is still exchanged in Shanghai Security Exchanges untill March 25 of the year 2009,is studied by time series model.The results show that there is some erros between the actual rate of convetible bond and the rate of convetible bond which are simulated by time series model.Finally the causes of the erros are analyzed briefly.