基于多元G ARCH模型的可转换债券市场与股票市场的波动关系研究

摘要

可转换债券作为一种混合型的金融衍生品，已经成为金融市场中重要的组成成分，并且其市场与股票市场之间又是互相影响的，它们的共同发展对金融市场的繁荣和企业竞争力的提高方面起到了积极的推动作用。因此，对可转债市场与股票市场之间关系的实证研究具有一定的理论与现实意义。基于上证指数（000001）与上证转债指数（000139），运用BEKK形式的多元GARCH模型来实证研究可转债市场与股票市场之间的波动关系及其溢出效应。实证结果发现，这两个市场之间有正相关的关系，并且存在双向的波动溢出效应。%Convertible bond has become an important part of financial market as a mix-typed financial derivative and its market is re-garded as an important market segment of capital market along with stock market.The two markets have influence on each other,their mutual development can promote the prosperity of financial market and improve the competitiveness of corporations.Therefore,resear-ches on the relation between convertible bond and stock are of particular empirical and practical significance.Based on Shanghai com-posite index (000001)and Shanghai bond index (000139),this article conducts an empirical study on the volatility relationship be-tween convertible bond market and stock market as well as the spillover effect by using multivariate GARCH model.The empirical re-sults find that there are positive correlation between the two markets and bidirectional volatility spillover effect.