【作者】 王宏来；

【导师】 杜莉；

【作者基本信息】 吉林大学 ， 金融学， 2010， 博士

【摘要】 可转债市场微观结构是指对可转债市场价格发现与信息传导机制有直接影响的相关要素的总和及其相互关系,主要包括交易主体、交易规则和交易机制等要素,其中交易机制和交易主体及其影响机理是本文研究的核心内容。我国自1991年8月琼能源发行总额3000万元的第一支可转债,到2009年底已有62只普通可转债在沪深两市上市,累计融资规模达到715.88亿元。2010年中国银行400亿可转债融资计划的推出,使得可转债市场迎来了前所未有的发展机遇。然而,当前我国可转债市场却存在着规模严重不足、交投极不活跃、信息传导不畅、定价能力不足等诸多问题。正是在这种背景下,本文从可转债市场微观结构入手,通过定性分析与定量研究相结合的方式,探究可转债市场价格发现效率偏低、信息传导机制不畅的原因,进而有针对性地提出改善可转债市场效率的对策建议。通过实证分析发现可转债市场流动性不足是导致以成交量为核心的价格发现机制失效的主要原因,进而提出通过引入融资融券制度、“债转股”实施T+0交收制度以及完善大宗交易制度等方式改善市场流动性的对策,以期推动可转债市场稳步快速发展;通过研究标的股与可转债之间的信息传导机制,检验了我国股票市场与可转债市场之间的信息传导效率,进而提出通过完善市场交易规则加强两个市场之间的套利机会,提高可转债市场的信息发现效率,充分发挥可转债市场平抑股票市场行情波动的稳定器功能;通过研究交易间隔、买卖价差、市场深度、期望价格波动率及交易方向之间的关系,发现我国可转债市场存在机构投资者占比过高、流动性投资者不足的特征;通过对可转债市场买卖价差成分分解,指出对知情交易者信息成本补偿不足、流动性交易者面临的指令执行风险过高是导致可转债市场投资者结构失衡,进而价格和信息发现效率偏低的主要原因。在此基础上,本文建议在可转债市场实施以电子自动撮合的竞价制度为主、以竞争性多元做市商制度为辅、投资者的报价与做市商的双边报价共同参与竞价的混合交易制度。更多还原

【Abstract】 Opportunities and challenges are survived together, advantages and difficulties are coexisted. That is the description of China’s convertible bonds market development situation.In response to“sub-prime crisis”on the adverse impact of China’s economy, the State Council issued a 4 trillion of investment-led program at the end of 2008. To implement the“to maintain growth, benefit the people’s livelihood and promote transformation”of the macro-economic objectives, the total credit of financial institutions reached a record of 9.59 trillion in 2009. In early 2010, China’s economy began to reveal inflationary pressures. In order to meet the new situation, to ensure a smooth transition of the economy, loose monetary policy and fiscal policy began to steady out. The banking is facing strong re-financing needs after assessed the commercial banks’deposit-loan ratio and capital adequacy by regulators. The Bank of China in 2010 with 40 billion convertible bond financing disclosure of convertible bonds market ushered in unprecedented opportunities for development. However, there is a serious shortage of the scale of trading in very active, poor signal transduction, lack of pricing capacity and many other issues on the current convertible bonds market in China.It is against this background, the paper from the convertible bonds market microstructure start, through qualitative analysis and quantitative research methods combined to explore the convertible bonds market, the low efficiency of price discovery, information transmission mechanism of the reasons for poor, thus there are countermeasures and proposals to improve efficiency of convertible bonds market.Through demonstration study on Investors structure, convertible bonds trading strategy selection and the relationship between the efficiency of market information (Chapter 6), the institutional investors accounted for excessive and liquidity investors accounted for inadequate were found in China’s convertible bonds market. And institutional investors to invest in long-term investment strategy based convertible bonds market has led to apathy, a serious shortage of market liquidity. Because of poor market liquidity, investors cannot use“that is to buy or sell”short-term way of knocking on transactions, leading to T + 0 market of China’s convertible bonds trading mechanisms do not work. The interest of volume as the core of the price discovery mechanism is very difficult to play a role when the liquidity support in convertible bonds market is adequate. This matches up to the conclusions of“Convertible bonds market turnover rate of return volatility effect of asymmetric shocks”(Chapter 4). The demonstration conclusion of“The role of underlying share price in information transmission mechanism of convertible bond market”reveals that convertible bonds market has strong pricing power of independent (Chapter 5). This illustrates that the price discovery mechanism which is based on institutional investors’capacity of value analysis has played a leading role. This also ensures the dominant position of institutional investors in convertible bonds market. Because institutional investors generally have a strong information-gathering, analysis, pricing power, and the pricing method used in pricing model is quite similar to institutional investors accounted for the main body of convertible bonds market in response to new information appears, does not require a great volume on the price of convertible bonds can be adjusted to a reasonable level, thus the performance of the core in the volume of the price discovery mechanism fails, while convertible bond market still has a strong independent pricing power. Through the convertible market, bid-ask spread component analysis (Chapter 7), found that in our convertible bonds market, trading instruction execution risk spreads the proportion accounted for up to 80%, while the informed trader’s information cost compensation (adverse selection costs) accounted for the proportion of price difference of about 6%. As the instruction execution risks are too high, a substantial increase in transaction costs of short-term speculative operations, the result must be the lack of short-term speculative traders in convertible bonds market; while information on the cost of informed traders due to insufficient compensation and force control private information trading chooses in other markets (stock market) to earn higher trading profits, nature information in other markets were first released, resulting in convertible bonds market information efficiency relatively low.This paper give some countermeasures and proposals from the perfect market, trading mechanism, actively make innovations, improve the soft environment for the market and abundant types of investors, set to improve the efficiency of China’s convertible bonds market.Ⅰ. Improve the trading mechanism to increase the market liquidity of convertible bonds marketⅰ. Introduce the Market-Maker System. Consideration of our convertible bonds market, the lack of short-term speculators, large trading mechanism to be improved, the serious shortage of market liquidity, it is proposed convertible bonds market in China’s implementation of“e-bidding system for automatic matching mainly by competitive multi-making system, supplemented by business, investors and market makers quote bid to participate in the bilateral mixed auction trading system”. This is purely market-maker system can effectively overcome the high transaction costs, market makers act difficult to monitor defects, while with the pure auction trading system can be compared to a substantial increase in market liquidity of convertible bonds, more efficiently to meet the institutional investors’need for large transactions, reduce transaction costs.ⅱ. Pilot margin purchase and short sale; increase the profits of investment in convertible bonds. Convertible bonds as a financial derivative products, the design of its provisions, especially the transfer price downward revisions to the terms and provisions of redemption has a strong ability to stop such“protection under the end of the non-capping”can be characterized as a better guarantee that the credit trading mechanism to play a liquidity effect at the same time, to a large extent to avoid the speculative effects.“Beneficial for both parties the right to draw upon similar weight, relative to the lesser of two disadvantages”. Consideration of our convertible bonds market, low proportion of speculative traders, lack of market liquidity resulting in T + 0 rotation trading system failure the fact that the paper should be introduced margin purchase and short sale system in the convertible bonds market. Through the leverage effect of margin to improve utilization of funds from investors to increase the elasticity of supply and demand for convertible bonds, convertible bonds market to achieve a substantial increase in trading volume targets. At the same time, it will be the issuance of convertible bonds into shares in the company of the scope of the experiment margin, allowing investors take advantage of convertible bonds implicit in the call option, through the“short selling the underlying shares, buying convertible bonds,”the arbitrage trading strategies, access to stable return.ⅲ.“Debt-to-Equity Swap”implementation of the T + 0 settlement system to increase the arbitrage opportunities between convertible bonds market and the stock market, in an active market, trading convertible bonds, while the operation of China’s stock market to provide a“stable mechanism”.ⅳ. Improve the block trading system; reduce transaction costs of investors. The first is to relax the time limit of large transactions in convertible bonds market; two is to adopt an electronic trading system on block trading.Ⅱ. Actively carry out the main issue, the conditions of issue and distribution, distribution venues innovation, seize the opportunity to rapidly expand the market size of convertible bondsⅰ. Reduce the threshold of convertible bonds issues, enriching the main issue of convertible bonds.In the current“financing gate”events frequently occurred. The stock market is sluggish. Through the issuance of ways to meet the needs of companies’large sums of money are more difficult, and low-cost additional to the old shareholders will be eroded, while the amount of allotment forms of financing also extremely limited at this time if appropriate to reduce the threshold of convertible bonds issues, these problems can be resolved. For this reason, this paper suggests regulatory authorities to reduce the threshold issue of convertible bonds, not only listed companies can issue, as long as the non-listed companies have good prospects for development should also be actively encouraged to issue; not only the state-owned enterprises can be made, private enterprises should enjoy the same treatment as in particular, some high-tech venture industry, private enterprise, convertible bonds market, should actively support their financing needs.ⅱ. Relax the convertible financing conditions; rich convertible bonds type of product.Firstly, reduce the credit rating requirements, release the restriction of convertible bonds interest rates; secondly, abolition of collateral requirements in full, lower issuance cost of convertible bonds; thirdly, simplify the approval procedures of convertible bonds issued, improve distribution’s efficiency; fourthly, regulate the issuance of convertible bonds trading detachable, to meet the needs of investors with different risk preferences.ⅲ. Means the introduction of private placement and encourage enterprises to attract strategic investors by way of directed the issuance of convertible bonds and achieve the enterprises’merger, at the same time provide a new idea for the reduction of state-owned shares.ⅳ. Encourage SMEs to issue convertible bonds in the GEM and support the development of high-tech industry.Ⅲ. Improve the soft environment and enrich the main type of convertible bonds market’s investmentFirstly, nurture the issuing agency and emphasis on the role of credit rating; secondly, establish and improve the convertible bonds market in the interests of investors protection mechanisms; thirdly, strengthen the market’s supervision and protect the interests of investors; fourthly, strengthen information disclosure of the bonds of the main and improve the information efficiency of convertible bonds market.更多还原