可转换债券市场和股票市场的波动性——基于ARCH族模型和误差修正模型的检验分析

An Analysis of Volatility Relation between Convertible Bond Market and Stock Market:Based on ARCH Models and ECM Model

ARCH族模型对具有时变波动性、厚尾性和波动聚集性的时间序列有很好的拟合效果。本文对上证可转债指数收益率运用ARCH族模型、Granger因果关系检验和ECM模型进行定量分析,研究结果显示:上证可转债指数收益率序列是平稳的,但是存在高阶ARCH效应;TARCH模型证明了利好利空信息对收益率的影响是非对称但不具有杠杆效应的;股票市场与可转债市场之间存在着单向波动溢出效应,且两个市场的收益率之间存在着长期均衡关系。在以上研究结果的基础上提出相关建议,希望对可转债市场的健康发展有所裨益。

The ARCH models can be used to depict a time series which is time -varying volatility, fat tails and vol- atility clustering. In this paper, we use the ARCH models, Granger causality test and ECM model to analysis the Shanghai convertible bond index. The results show that the Shanghai convertible bond index sequence is smooth, but exist high order ARCH effect; TARCH model proved the positive and negative information have asymmetric effect on the yield but don＇t have leverage; there is a one -way spillover effect between stock market and convertible bond market, and a long -term equilibrium relationship between the yields. Some suggestions are put forward on the basis of the research results, hoping to help the healthy development of the convertible bond market.