中国资本市场可转债发行与标的股票价格波动的关系研究  

Research on the Relationship between Issuance of Convertible Bonds and Underlying Stock Volatility in Capital Market of China

作　　者：贾甫[1] 谢铭庭[2] 郑琛[3] 董笑蕊[4] 

机构地区：[1]北京大学经济学院,北京100871 [2]杭州师范大学法学院,浙江杭州310036 [3]北京大学软件与微电子学院,北京102600 [4]首都经济贸易大学城市经济与公共管理学院,北京100070

出　　处：《南方金融》2013年第6期66-72,共7页South China Finance

摘　　要：本文以中国资本市场的18只可转债及其标的股票为例,研究了可转债发行与标的股票价格波动之间的关系。研究发现,可转债的发行与否对于标的股票价格的波动性影响并不显著,解释力度不足5%。当对股本(流通股本)以及平均交易量进行控制后,发现解释能力得到明显提高,可达到15%,说明股本对股票价格的波动有一定影响。但是无论在哪种情况下,描述性统计分析的结果、方差分析的结果都不足以说明可转债发行与股票价格波动之间的关系是显著的。The paper focuses on the 18 convertible bonds in China＇s capital market,and studies the relationship between the issuance of convertible bonds and the underlying stock volatility.The results show that the underlying stock volatility is affected little by the convertible bonds issuance with the R square of 5%.However,when the authors keep the variables of capital stock（floating stock）and exchange volume under control,the R square increases to 15%,which explains that the floating stock has a more obvious correlation with the stock volatility.But under ever circumstances,can the relationship between the issuance of convertible bonds and the floating of stock price be manifested with statistics and variance analysis.

关 键 词：资本市场 可转债券 标的股票 波动性 

分 类 号：F832.5[经济管理—金融学] F224