可转换公司债券与正股价格联动的阶段性特征——以浦发转债为例

Stage-Specific Characteristics of Price Co-Movement between Convertible Bonds and Underlying Stocks—A Case Study of SPD Bank Convertible Bond

摘要: 可转换公司债券兼具债性与股性，其与正股价格的联动并非恒定的比例传导，而是随溢价状态和期限约束呈现显著的时变与非线性特征。本文以浦发转债(110059)完整存续期(2019~2025年)为单案例，综合运用滚动窗口相关系数、带有交互项的时间序列回归以及Markov区制转换模型，深入刻画其价格联动的阶段性演变规律。研究发现：第一，转债与正股的联动强度存在明显的阶段异质性，总体均值掩盖了上市初期和临近到期期的高联动，以及正股下行期的极弱传导。第二，转股溢价率是决定传导效率的核心状态变量，高溢价状态对正股下跌发挥了显著的缓冲作用，导致价格传导几近失效。第三，Markov模型内生识别出的低联动与高联动区制表明，只有当溢价率实质性压缩且叠加期限约束增强时，转债才会向高联动状态切换。本研究为理解高信用评级大盘转债在不同市场环境下的定价逻辑与风险收益特征提供了实证证据。

Abstract: Convertible corporate bonds possess both debt and equity characteristics, and their price co-movement with underlying stocks is not a constant proportional transmission, but rather exhibits significant time-varying and non-linear features depending on premium conditions and time-to-maturity constraints. Using the complete lifespan of the SPD Bank Convertible Bond (110059) from 2019 to 2025 as a single case study, this paper applies rolling window correlations, time-series regressions with interaction terms, and a Markov regime-switching model to delineate the stage-specific evolution of this price linkage. The findings reveal that: First, the co-movement intensity shows clear stage heterogeneity, where the overall average obscures the high co-movement during the early listing and near-maturity periods, as well as the extremely weak transmission during stock downturns. Second, the conversion premium is a core state variable determining transmission efficiency; high premium states act as a significant buffer against stock declines, rendering price transmission almost ineffective (with equity sensitivity approaching zero). Third, the distinct low- and high-co-movement regimes endogenously identified by the Markov model indicate that convertible bonds only switch to a high co-movement state when the premium is substantially compressed and maturity constraints are strengthened. This study provides micro-empirical evidence for understanding the pricing logic and risk-return profiles of high-credit-rating, large-cap convertible bonds across different market environments.