An Empirical Study On The Linkage Between China's Convertible Corporate Bond Market And Stock Market

Since the circulation of China's convertible corporate bonds reached its lowest point in nearly 10 years in 2015,its circulation has exploded,especially in 2017,the total amount reached a record high of 94.627 billion,and the number issued in 2018 is also Achieving a record high of 67,these changes are related to the continuous improvement of the issuance system and trading mechanism of China's convertible corporate bonds,and also show the strong temptation of convertible corporate bonds for both listed companies and investors.Therefore,the linkage between the convertible corporate bond market and the stock market is increasingly the key to the game between investors and listed companies.It can not only provide investment guidance to investors in the primary and secondary markets,but also to the company.It is of great benefit for managers to grasp the issuance of convertible bonds and the right to exercise redemption clauses and to amend clauses.This paper is different from the previous similar research.In order to explore the linkage between the convertible bond market and the stock market,the linkage between the convertible corporate bond market and the stock market is studied from the three aspects of price,volume and yield.Relationships,multi-angle analysis of the linkage between the two markets can make the research results more convincing.Among them,the CSI Convertible Bond Index(000832)is used to represent the change in the overall price trend of the convertible corporate bond market,as it covers all the convertible companies trading in the market with a balance of over 3,000 yuan in the Shanghai and Shenzhen stock exchanges.Bonds,there are currently 163 convertible corporate bonds currently traded on the market;an index compiled by the self-constructed base stocks of all convertible bonds is dynamically adjusted according to the market capitalization weight,which represents the overall stock market.The price trend,there are currently 163 underlying stocks.This paper uses a combination of theoretical and empirical research methods,using VAR vector autoregressive model,Johansen cointegration test and VECM error correction model,Granger causality test,impulse response function analysis,variance decomposition and other methods to the Shanghai and Shenzhen 300 Index And the CSI Convertible Bond Index is the research object,and carries out empirical analysis on the linkage relationship between price,transaction volume and profit rate of the two markets in 2016-2019.Among them,the daily closing price of the CSI 300 Index and the CSI Convertible Bond Index is used as the price time series group to analyze the linkage relationship between the two markets.Although the time series group is not stable,it is confirmed by Johanen cointegration analysis.It has a cointegration relationship and establishes a modified VECM error correction model,and performs impulse response function analysis and variance decomposition.The daily trading volume of the CSI 300 Index and the CSI Convertible Bond Index is used as the trading volume.Sequence group,VAR model establishment,Granger causality test,impulse response function analysis and variance decomposition;the daily return rate of the CSI 300 Index and the CSI Convertible Bond Index as the time series of the yield rate,the establishment of the VAR model,Granger Causality test,impulse response function analysis,and variance decomposition.Through empirical analysis,the VAR model equations linked by the stock market and the convertible bond market are fitted,and it is concluded that there is a long-term cointegration relationship between China's stock market and the convertible corporate bond market.There is a Granger causal relationship between the convertible bond market and the stock market,and the stock market index is ahead of the convertible bond index.There is a strong linkage between China's stock market and the convertible bond market,and the fluctuation of the stock market has a great impact on the convertible bond market,and the fluctuation of the convertible bond market has little impact on the stock market.Fluctuations in the stock market play a major role in the two.Finally,on the basis of theoretical analysis and empirical analysis,the shortcomings of this paper are put forward,and the future research is prospected.