【作者】 张浩；

【导师】 戴志敏；

【作者基本信息】 浙江大学 ， 金融专硕（专业学位）， 2021， 硕士

【摘要】 近年来,随着经济环境和融资需求的变化与发展,我国可转债市场取得了较为显著的发展,可转债数量也达到了一定的规模。据统计,截至2020年6月4日,我国境内共累计发行510只可转债。在可转债重要性日益凸显的背景下,关于可转债市场有效性的研究却相对较少。本文选择研究我国可转债市场有效性是基于两方面的考虑:一方面是学术意义,许多重要的金融理论,比如资本资产定价模型等都是建立在资本市场有效的基础上的,如果市场无效,那么用这些理论计算得出的理论价格,其参考价格将大打折扣。另一方面是现实意义,通过对可转债市场有效性的实证研究分析,可以使投资者对现阶段可转债市场的发展现状有一个正确的认识,从而能够正确利用市场上的信息来指导自身的投资决策。同时,有助于管理层制定相应的政策和制度,促进我国可转债市场的有序发展。本文采用游程检验、自相关性检验和方差比检验等实证方法对我国可转债市场的有效性进行实证检验。具体做法是检验可转债加权平均指数日收益率是否符合随机游走,以此来验证我国可转债市场是否达到弱型有效。分析结果表明我国可转债市场还没有达到有效市场理论中弱型有效的层次。进一步,本文选取2020年日均成交额最大的十只可转债组成新的指数进行以上的实证检验并对2020年的可转债加权平均指数单独进行检验作为参考对照,虽然实证检验的结果不尽相同,但是可以判断,随着可转债市场的发展,我国可转债市场的有效性有所提升,而市场规模和流动性可能是影响市场有效性的关键因素之一。更多还原

【Abstract】 In recent years,with the changes and development of the economic environment and financing demand,Chinese convertible bond market has developed significantly,and the total number of convertible bonds has reached a certain scale.After 30 years’ development,as of June 4,2020,a total of 510 convertible bonds have been issued in China.The Chinese convertible bond market has begun to take shape.With the increasing importance of convertible bonds,there are relatively few studies analyzing its efficiency.This paper chooses to study the efficiency of Chinese convertible bond market based on two purposes and meanings: on the one hand,it is for the academic significance.Many vital financial theories,such as capital asset pricing models,are based on the efficiency of the capital market.If the market is not efficient,the theoretical price calculated with these theories will be inaccurate,and thus lose its value.On the other hand,it is for the practical significance.Through empirical analysis on the efficiency of the convertible bond market,investors can have a better understanding of the current status of the market,so that they can correctly use the information on the market to make their own investment decisions.Also,it can provide the government with the suggestions on how to formulate corresponding policies,promoting the orderly development of the market.In this paper,run test,serial autocorrelation test and variance ratio test are used to empirically test the efficiency of Chinese convertible bond market.The specific method is to test whether the daily return rate of the weighted average index of convertible bonds conforms to the random walk,in order to verify whether the convertible bond market has reached the weak-form efficiency.The empirical results show that Chinese convertible bond market has not reached the weak-form efficiency.Furthermore,this paper selects ten convertible bonds with the largest average daily turnover in 2020 to form a new index to conduct the above empirical test and separately test the weighted average index of convertible bonds in 2020 as a reference control,although the results of the empirical test are not same,it still can be judged that with the development of the convertible bond market,the efficiency of Chinese convertible bond market has improved,and liquidity may be one of the key factors affecting market efficiency.Finally,based on the above results,this paper puts forward some suggestions to improve the market.更多还原