我国可转换债券市场有效性研究
摘要
可转换债券是介于股票与债券之间的一种证券,其特有的期权性、股权性和债权性使其具有极大的灵活性。可转债作为我国继股票、一般公司债券之后的又一新的金融工具,已成为证券市场的重要组成部分,发挥着越来越重要的作用。经过近17年的发展,截止2007年12月31日,我国境内共发行可转债62只,累计发行金额739.44亿元,可转债市场已初具规模。但是由于发展时间较短,可转债市场还存在大量的问题如规模太小,相关法律法规、政策制度不健全,投资者不成熟等原因,总体来说市场效率不高。
市场信息有效性是金融经济学的基础,对其研究具有重要的现实意义。从宏观层次看,市场效率直接关系到投资者的利益保护和政府的监管政策;从微观角度看,市场效率直接决定投资者的投资策略。种种迹象表明我们必须审视我国可转换债券市场的效率,为我国投资者和监管部门提供有益的理论参考。同时,对可转换债券市场效率的研究,也有利于促进我国可转换债券市场健康有效的发展,提高资本市场资源配置效率。
为正确把握目前我国可转债市场所处效率层次,本文首先介绍了研究的背景和意思,并对国内外有效市场研究现状做综述性介绍。为了给实证提供理论支撑接下来对有效市场假说内容、不足及面临的挑战进行阐述。本文重点借鉴证券市场弱势有效研究检验方法,采用单根检验、序列相关和游程检验我国可转换债券市场效率进行检验,得出我国转债市场效率低下的结论,最后根据定量分析的结论,结合我国转债市场实际状况对无效的原因进行多角度分析,最后提出一些提高转债市场效率的建议。
Convertible bonds (CB), which is between stocks and bonds, are of great flexibility because of its unique option, equity and credit. CB, as a new financial tool in China after stocks and common bonds of companies, have become a crucial part of securities business and are playing an increasing important role. Until Dec31, 2007, after 17 years’development, 62 convertible bonds have been issued in China, which amounts to 73.944 billion RMB yuan. Thus, the CB market has come into being. However, owing to its initial stage, there are a lot of problems, such as the imperfect laws and regulations, policies and systems, immature investors, etc.. On the whole, this market is of low efficiency.
Market information validity is not only the basis of financial economics, but also of great practical significance. On the macro level, market efficiency relates directly to investors’interests and the supervision policies of the government; on the micro level, it determines the investing strategies of investors. Plenty of evidences demonstrate that a survey of the efficiency of the CB market in China is urgently needed so as to provide beneficial references for investors and supervisors in China. Therefore, researches on CB market efficiency will help to promote the sound development of the CB market in China and improve the efficiency of collocation of capital market resources.
In order to understand on what efficiency level the CB market in China is, this thesis first introduces the background and reviews the research of efficient market at home as well as abroad. Next, it discusses about the content, defects and challenges of efficient market hypothesis so as to provide a theoretical model for the demonstration research. This paper mainly employs the verification methods of weakness validity research of securities business, such as unit root test, serial correlation and run test, to test the efficiency of the CB market in China and then reaches the conclusion that the CB market in China is of low efficiency. Lastly, after analyzing from various angles the causes of invalidity according to the research conclusions and the actual condition of the CB market in China, this thesis brings forward some suggestions of improving CB market efficiency.
市场信息有效性是金融经济学的基础,对其研究具有重要的现实意义。从宏观层次看,市场效率直接关系到投资者的利益保护和政府的监管政策;从微观角度看,市场效率直接决定投资者的投资策略。种种迹象表明我们必须审视我国可转换债券市场的效率,为我国投资者和监管部门提供有益的理论参考。同时,对可转换债券市场效率的研究,也有利于促进我国可转换债券市场健康有效的发展,提高资本市场资源配置效率。
为正确把握目前我国可转债市场所处效率层次,本文首先介绍了研究的背景和意思,并对国内外有效市场研究现状做综述性介绍。为了给实证提供理论支撑接下来对有效市场假说内容、不足及面临的挑战进行阐述。本文重点借鉴证券市场弱势有效研究检验方法,采用单根检验、序列相关和游程检验我国可转换债券市场效率进行检验,得出我国转债市场效率低下的结论,最后根据定量分析的结论,结合我国转债市场实际状况对无效的原因进行多角度分析,最后提出一些提高转债市场效率的建议。
Convertible bonds (CB), which is between stocks and bonds, are of great flexibility because of its unique option, equity and credit. CB, as a new financial tool in China after stocks and common bonds of companies, have become a crucial part of securities business and are playing an increasing important role. Until Dec31, 2007, after 17 years’development, 62 convertible bonds have been issued in China, which amounts to 73.944 billion RMB yuan. Thus, the CB market has come into being. However, owing to its initial stage, there are a lot of problems, such as the imperfect laws and regulations, policies and systems, immature investors, etc.. On the whole, this market is of low efficiency.
Market information validity is not only the basis of financial economics, but also of great practical significance. On the macro level, market efficiency relates directly to investors’interests and the supervision policies of the government; on the micro level, it determines the investing strategies of investors. Plenty of evidences demonstrate that a survey of the efficiency of the CB market in China is urgently needed so as to provide beneficial references for investors and supervisors in China. Therefore, researches on CB market efficiency will help to promote the sound development of the CB market in China and improve the efficiency of collocation of capital market resources.
In order to understand on what efficiency level the CB market in China is, this thesis first introduces the background and reviews the research of efficient market at home as well as abroad. Next, it discusses about the content, defects and challenges of efficient market hypothesis so as to provide a theoretical model for the demonstration research. This paper mainly employs the verification methods of weakness validity research of securities business, such as unit root test, serial correlation and run test, to test the efficiency of the CB market in China and then reaches the conclusion that the CB market in China is of low efficiency. Lastly, after analyzing from various angles the causes of invalidity according to the research conclusions and the actual condition of the CB market in China, this thesis brings forward some suggestions of improving CB market efficiency.
引文
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[2] Lawrence Fisher,Fama,Michael C.Jensen et al.The Adjustment of Stock Prices to New Information[j].International Economic Review,1969,10(1),1-21.
[3] Fama.Efficient Capital Markets:A Review of Theory and Empirical Work[j].The Journal of Finance,25(2),383-417.
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[9] R·Ball and P·Brown.An Empirical Evaluation of Accounting Income Numbers[J].Journal of Accounting Research,1969(Aug):159-178.
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[18]范龙振,张子刚.深圳股票市场的弱有效性[J]管理工程学报1998(1).P36-38.
[19]胡金焱.中国股票市场弱有效性的三种统计检验[J].世界经济A辑.2002(4).P38-48.
[20]兰秋军等.中国股市弱有效吗?——来自数据挖掘的实证研究[J].中国管理科学.2005(8).P17-23.
[21]张兵,李晓明.中国市场的渐进有效性研究[J].经济研究,2003(1).P54-87.
[22]张信东.我国可转换债券市场弱式效能的分析[J].中国软科学.2005(3).P145-149.
[23]黄建兵.中国的可转换债券与市场价格有效性研究[J].系统工程理论方法应用.2002(3)P63-67.
[24]郑振龙.可转债投资对股票投资的绝对占优:中国可转债市场效率的一个反例[J].当代财经2005(5).P38-39.
[25]李爱香.B-S期权定价模型在可转换债券定价中的应用[J].重庆工学院学报,2005.(2).P88-90.
[26]章冬斌.B-S模型在我国上市公司可转换债券估值中的应用[J].山东财政学院学报,2005(1). P 50- 53.
[27]汤敏,茅于轼主编.关于市场有效性假设[A].现代经济学前沿专题(第二集).商务印书馆.1993.
[28] Bachelier,L.Theory of Speculation(Thesis Presented For The Degree Docteurs Sciences Mathmatiques,Academy of Paris),1990,Translated By Boness,A.J.
[29] Roberts,Vijayreghavan V,Aintablian S.Stock index-linked debt and shareholder value,evidence from the Paris Bourse[J].European Financial Management,2002:339-356.
[30] Andrew·W·Lo and Craig MacKinlay.Stock Market Price Do Not Follow Random Walks: Evidence from a Simple Specification Test[J].Review of Financial Studies,1988(Jan):41-66.
[31] David A.Dickey&Wayne A.Fuller.Likelihood Ratio Statistics for Autoregressive Time Series with A Unit Root[J].Economertrica,1981(Jul),Vol49,No.4.
[32]徐龙炳,陆蓉.有效市场理论的产生、发展及其争论[N]证券时报, 2001, (2001-03-23)
[33]赵瑛玉.单位根检验在检验市场有效性方面的错误应用[J].经济研究导刊2007(1)P70-72.
[34]胡杨.构建与完善中国可转换债券市场[J].湘潭师范学院报2007(6).P85-86.
[35]于昕,高滋常.发展中国债券市场的几点建议[J]证券广场2003(9).P37.
[36]王铁锋.中外可转换公司债券市场比较研究[J]经济管理.2006(14).P80-85.
[37]周雪梅.从发展企业债的视角看转换债券的进一步发展[J]金融证券.2007(7).
[38]冯祁善,王娜.分离交易的可转换债券相关问题探析[J]财经金融2007(9).P176-178.
[39]陈巍.中国可转债市场体系的构造思路[J]当代财经论坛2005(10).p58-60.
[2] Lawrence Fisher,Fama,Michael C.Jensen et al.The Adjustment of Stock Prices to New Information[j].International Economic Review,1969,10(1),1-21.
[3] Fama.Efficient Capital Markets:A Review of Theory and Empirical Work[j].The Journal of Finance,25(2),383-417.
[4] French,Fama.Permanent and Temporary Components of Stock Prices[j],The Journal of Political Economy,1988,96(2),246-273.
[5] Fama.Efficient Capital Markets:II[j],The Journal of Finance,1991,46(5),1575-1617.
[6] Kendall,Maurice.The Analysis of Economics Time Serices. Part1:Prics[J]. Journal of the Royal Statistics Society,1996:11-25.
[7] Harry Roberts.Stock Market,Patte Journal of Finance,1959(Mar),14.
[8] Andrew·W·Lo and Craig MacKinlay.Stock Market Price Do Not Follow Random Walks Evidence from a Simple Specification Test[J].Review of Financial Studies,1988(Jan):41-66.
[9] R·Ball and P·Brown.An Empirical Evaluation of Accounting Income Numbers[J].Journal of Accounting Research,1969(Aug):159-178.
[10] Arthur Keown and John Pinkerton.Merger Announcements and Insider Trading Activity[J].Journal of Finance,1981(Sep):36.
[11]俞乔.市场有效、周期异动与股价波动[J].经济研究.1994(9).P21-26.
[12]宋颂兴,金伟根.上海股市市场有效实证研究[J].经济学家,1995(4).P107-128.
[13]吴世农.深圳股票市场效能的实证研究[J].1995(7).P66-72.
[14]吴世农.中国证券市场效率的分析[J].经济研究.1996(4).
[15]吴世农.上海股票市场效率分析与评价[J].投资研究.1994(1).P44-47.
[16]陈小悦.中国股市弱型效率的实证研究.会计研究.1997(9).P13-17.
[17]张思奇,马刚,冉华.股票市场风险、收益与市场效率:——ARMA-ARCH-M模型[J].世界经济.2000(5).P19-28.
[18]范龙振,张子刚.深圳股票市场的弱有效性[J]管理工程学报1998(1).P36-38.
[19]胡金焱.中国股票市场弱有效性的三种统计检验[J].世界经济A辑.2002(4).P38-48.
[20]兰秋军等.中国股市弱有效吗?——来自数据挖掘的实证研究[J].中国管理科学.2005(8).P17-23.
[21]张兵,李晓明.中国市场的渐进有效性研究[J].经济研究,2003(1).P54-87.
[22]张信东.我国可转换债券市场弱式效能的分析[J].中国软科学.2005(3).P145-149.
[23]黄建兵.中国的可转换债券与市场价格有效性研究[J].系统工程理论方法应用.2002(3)P63-67.
[24]郑振龙.可转债投资对股票投资的绝对占优:中国可转债市场效率的一个反例[J].当代财经2005(5).P38-39.
[25]李爱香.B-S期权定价模型在可转换债券定价中的应用[J].重庆工学院学报,2005.(2).P88-90.
[26]章冬斌.B-S模型在我国上市公司可转换债券估值中的应用[J].山东财政学院学报,2005(1). P 50- 53.
[27]汤敏,茅于轼主编.关于市场有效性假设[A].现代经济学前沿专题(第二集).商务印书馆.1993.
[28] Bachelier,L.Theory of Speculation(Thesis Presented For The Degree Docteurs Sciences Mathmatiques,Academy of Paris),1990,Translated By Boness,A.J.
[29] Roberts,Vijayreghavan V,Aintablian S.Stock index-linked debt and shareholder value,evidence from the Paris Bourse[J].European Financial Management,2002:339-356.
[30] Andrew·W·Lo and Craig MacKinlay.Stock Market Price Do Not Follow Random Walks: Evidence from a Simple Specification Test[J].Review of Financial Studies,1988(Jan):41-66.
[31] David A.Dickey&Wayne A.Fuller.Likelihood Ratio Statistics for Autoregressive Time Series with A Unit Root[J].Economertrica,1981(Jul),Vol49,No.4.
[32]徐龙炳,陆蓉.有效市场理论的产生、发展及其争论[N]证券时报, 2001, (2001-03-23)
[33]赵瑛玉.单位根检验在检验市场有效性方面的错误应用[J].经济研究导刊2007(1)P70-72.
[34]胡杨.构建与完善中国可转换债券市场[J].湘潭师范学院报2007(6).P85-86.
[35]于昕,高滋常.发展中国债券市场的几点建议[J]证券广场2003(9).P37.
[36]王铁锋.中外可转换公司债券市场比较研究[J]经济管理.2006(14).P80-85.
[37]周雪梅.从发展企业债的视角看转换债券的进一步发展[J]金融证券.2007(7).
[38]冯祁善,王娜.分离交易的可转换债券相关问题探析[J]财经金融2007(9).P176-178.
[39]陈巍.中国可转债市场体系的构造思路[J]当代财经论坛2005(10).p58-60.