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.pdfVIP

2007 7 Ju l, 2007 26 4 A pp lication of Statistics and M anagem en t V ol26 N o4 : 1002- 1566 2007) 04 - 0726- 07 吴 谦 , 2004 33) : 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 动态 传导关系进行了系统 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 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 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 原因, 指出由于套利机会 出现使转债价格不 会偏离转股价值太远 : 可转换债券; 协整; 非对称误差修正模型; 套利 : O 212 : A EmpiricalResearch on theCointegration Relationship Between thePrice of ConvertibleBond and the Price of ItsUnderlying Stock WU Q ian D eparm ent o f econom etrics, Shanghai U niversity of F inance Econom ics, Shangha i 200433 China) Abstract: By u sing the m ethod of cointeg ra tion and E rror Correction M ode l, this article ana ly zes the coin tegration be tw een convertible bond and its underlying stock, then explores w hether coactions are phrasecharacter istic and the rea sons if there ex ist coactions. O n the basis of th is emp irical analysis, the artic le po ints out that w ith the rap id deve lop m ent o f conve rtible bonds m arket, the pr ice of a convertib le bond and the price o f its under ly ing stock have a longterm and equilibr ium relationship, and the stock leads ahead o f its corresponding convertible bond in price. ey words: conve rtible bonds; cointegration; A symm etric Error correction m ode;l arbitrage 0 , , , , 1 , : 2006 2 24 : 727 , 2001) 1999 12 2000 7 , , , , 2002) , , , , , , , , , 95% , , , , 2 OLS) ,