可轉換公司債與股票價格之間的動態相關性分析

可轉換公司債是金融投資市場中眾多投資商品的一部分，透過研究可轉債市場和股市的相關性，不僅可以了解其動態特徵及風險，而且可利用兩市場間的連動關係提供具有獲利性的投資策略，以作為投資者進行資產配置的參考依據。因此本論文將利用SPDR彭博巴克萊可轉換證券ETF和標普500指數分別代表可轉債及股價的主要研究指標，並加入代表市場風險的VIX恐慌指數以及利差為其他影響變數，所擷取的樣本區間是2013年10月至2021年3月，剔除周末及例假日等非交易日期，運用雙變量GARCH模型進行實證研究，以檢視當期可轉債的報酬率是否能被過去的股票報酬率解釋。研究結果表明，雙變量GARCH模型能夠刻劃可轉債市場與股票市場間的報酬相關性變化和風險性的變動關係，兩個市場的報酬率條件序列波動之間顯示為較強的正相關性，這也說明當兩個市場面臨到重大的經濟事件或是國家經濟政策等因素的共同影響時，證實這兩個市場對市場上共同的信息反應的速度以及報酬率的變化程度是相近的。

關鍵字

可轉換公司債；股價； GARCH模型

並列摘要

The convertible bond market is part of the financial market. Studying the correlation between the convertible bond market and the stock market can not only understand its dynamic characteristics and risks, but also use the linkage relationship between the two markets to provide profitable investment strategies. Provide a reference basis for investors to allocate assets. Therefore, this article will use SPDR Bloomberg Barclays Convertible Securities ETF and S&P 500 index as the main research indicators, and add the VIX panic index, which represents market risk and spreads, as other influencing variables. The sample interval selected is from October 2013 to March 2021, excluding weekends, holidays and other non-trading days, using a multivariate GARCH model to conduct empirical research to test whether the current returns of convertible bonds can be explained by past stock returns. The research results show that the multivariable GARCH model can characterize the risk change relationship between the convertible bond market and the stock market and the correlation change of returns. There is a strong positive correlation between the conditional fluctuations of the return rate series of the two markets. This also shows that when the two markets face the common influence of major economic events or national economic policies and other factors, it proves that the returns of the two markets' response speed and degree of change to the common market information are similar.