可转换债券
市场流动性
波动性(金融)
可转换套利
债券
业务
货币经济学
市值
债券市场
股票市场
经济
金融经济学
财务
资本资产定价模型
马
古生物学
套利定价理论
生物
风险套利
作者
Jianxuan Xin,Qiang Ye,Hao Xia
摘要
Abstract We investigate how convertible bond issuance impacts stock market quality across four dimensions: liquidity, price efficiency, excess returns, and volatility, using Chinese market data. Findings reveal that convertible bond issuance enhances liquidity and price efficiency but also leads to increased volatility and reduced excess returns. We identify two primary mechanisms: first, the conversion of convertible bonds impacts all four dimensions of market quality; second, high‐frequency trading of these bonds reduces stock market volatility, mitigating the overall effect. Heterogeneity analysis indicates that these effects are stronger among firms with smaller market capitalizations, lower‐rated convertible bonds, and during negative sentiment periods.
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