可转换债券及其标的股票风险收益关系的实证研究

Empirical Research on Risk and Return in Convertible Bond and Its Underlying Stock

可转债是一类特殊的公司债券,其价值构成由债券和期权构成。理论分析表明,可转债的期权价值受标的股票价格本身以及其波动率的影响。选取融资融券试点后的可转债样本进行实证,表明可转债相对于其标的股票具有高收益低风险特性,并且可转债的价格与股票价格有正向关系,但股价波动率与转债价格以及其波动率之间都没有关系,并不能认为高风险的股票对应的可转债风险也高。

A convertible bond is a special corporate bond.Its value is composed of the bond and equity option’s value.The theoretical analysis shows that the option value is influenced by the underlying stock’s price and volatility.This paper investigates the convertible bonds traded in the Chinese market after Securities Margin Trading issues.We find that convertible bond has high return and low risk characteristics.The convertible bond’s price is positively related with the underlying stock’s price.But the underlying stock’s volatility is uncorrelated with the convertible bond’s price and volatility.So it shows that the high risk of underlying stock is not corresponding with the high risk of convertible bond.