The relationship between the convertible bond market and the stock market: An Empirical Study Based on the two element GARCH model
The convertible bond market is an important part of the financial market, which plays an important role in the securities market of developed countries. And Western Compared with developed countries, China's convertible bond market is still in its infancy. Research on the relationship between convertible bond market and stock market Not only can we understand the characteristics and risks of China's convertible bond market, but also make use of convertible bond market and stock market Linkage provides the basis for investors and financiers to operate correctly. We summarize the formation process of China's convertible bond market,Based on the convertible bond index and the CSI 300 index, the empirical study of convertible bond market and stock market by using the two GARC H model Fluctuation characteristics. The results show that the two G ARC H model can describe the relationship between the risk and volatility of the relationship between the two markets There is a strong positive correlation between the conditional volatility of the two market returns, and it is proved that the two markets have the opposite effect on the common information The rate of change and the rate of return are simila
