An Empirical Analysis Of The Linkage Relationship Of Convertible Bond Price And The Underlying Stock Price

In recent years, highlighting the advantages of convertible bond, the globalconvertible market financing scale and the growing scale of transaction. In May8,2006the "listing Corporation securities issued management measures" issued, the next few years China’s convertible bonds market is growing. Convertible bonds is the investment and financing of intermediate between bonds and stocks of the combination of tools, improve the market system of securities market prosperity and development play an important role in promoting. Under such a development background, this paper makes a more in-depth discussion on the convertible bond price and the linkage relationship between stock prices, thepurpose is to provide reference for investment analysis for investors, and offerreference for other researchers.This paper selects15so far in2008period, the listed on the exchange, and successfully to equity delisting of the convertible bonds and related stocks sample, the daily closing price as the samples of each time series. The ADF test each time series the smoothness, then set up VAR model, Johansen cointegration test based on VAR model, and VEC model of error correction, and finally Grainger causality test and analysis process. The empirical evidence,15convertible bonds and stock closing price time series are non-stationary and the presence of a unit root, integrated of order one. From the Johansen cointegrationtest and the Grainger test results of6samples, the existence of cointegration relationship, and the causal relationship between Grainger. From6on the convertible bond with stock Grainger causality test results, the convertible bond pricechanges are Grainger reason is the share price changes, that is to say, in theshort term, convertible bond price changes, will cause the positive stock pricechanges, the convertible bond price changes are due to price changes, the shares are is the fruit. But on the other hand, the relationship is not necessarily true. In6samples,4samples in turn does not become the cause of Granger, th at is to say, stock price changes is not obvious to cause the convertible bondprice changes.According to the empirical results, this paper considered the convertible bond and stock price movements of the cointegration shows more characteristicsof a short period. In addition, the convertible bond price changes are for Granger reasons, stock price changes but in turn, the relationship is not necessarilytrue that dual attributes, convertible bond has (equity and debt) causes the price impact of complex factors of stock price effect than.