可转换债券与股票市场动态联动效应研究——基于市场情绪视角的分析

Research on Dynamic Linkage Effect of Convertible Bonds and Stock Market——Analysis based on market sentiment perspective

我国可转债市场和股票市场之间存在一定的联动效应,但其价格联动关系并非总是一成不变,市场情绪是其重要影响因素之一。本文采用支持向量机方法进行分析,发现可转债申购规则修改后市场情绪对可转债价格的解释能力显著上升。将市场情绪引入市场联动效应模型中,实证结果表明:在可转债申购规则修改实施前,只存在股票市场向可转债市场的单向均值溢出效应和非对称溢出效应,且两个市场只对可转债市场产生GARCH型波动溢出,ARCH型波动溢出不显著;可转债申购规则修改实施后,两个市场的联动关系明显增强,产生双向的收益溢出、波动溢出和非对称溢出,说明联动效应呈现动态变化。

There is a linkage effect between the convertible bond market and the stock market in our country,but the price linkage relationship is not always static.Market sentiment is one of the important factors.This paper uses the support vector machine method to find that the market sentiment of convertible bond has a significant increase in the ability to explain the price of convertible bonds after the revision of the convertible bond purchase rules.After introducing the market sentiment into the market linkage effect model,empirical results show that there exist only one-way mean spillover effects and asymmetric spillover effects from the stock market to the convertible bond market before the implementation of the amendments to the convertible bond purchase rules,and GARCH-type volatility spillovers are generated from both markets to convertible bond market,while ARCH-type volatility spillovers are insignificant;after the implementation of the revision of the convertible bond purchase rules,the linkage relationship between the two markets has been significantly enhanced,resulting in two-way mean spillovers,volatility spillovers and asymmetric spillovers,which implies the dynamic changes of linkage effects.