The Issue of Convertible Bonds on the Polish Bond Market Catalyst in the Years 2009–2013

The Analysis of Chinese Convertible Bond Market

Journal of Economics and Public Finance ◽

10.22158/jepf.v6n2p104 ◽

2020 ◽

Vol 6 (2) ◽

pp. p104

Author(s):

Yuxin Tian ◽

Jun Chen

Keyword(s):

Portfolio Management ◽

Convertible Bonds ◽

Bond Market ◽

Comprehensive Analysis ◽

Convertible Bond ◽

Historical Evolution ◽

Chinese Market ◽

Valuation Model ◽

Black Scholes Model ◽

Black Scholes

Convertible bond is a type of hybrid security with both bond- and stock-like features. The Chinese market of convertible bonds has developed dramatically during the last decade. This paper will conduct a comprehensive analysis of this market. Firstly, a brief introduction of convertible bond and the historical evolution of this market in China is presented, then we analyze various investment risks related to convertible bonds. Next, this paper proposes the basic valuation model for convertible bonds, which is the Black-Scholes model and modifies it by taking the delusion effect of conversion into account, leading to the Gailai-Schneller model. In addition, the differences of the outcomes obtained by these two models are compared and analyzed based on the pricing of Shanghai Electric convertible bond. In the sixth part, this paper mainly explains two types of applications of convertible bonds in portfolio management. In the end, several problems existing in Chinese convertible market as well as some suggestions for solving them are discussed.

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Research on the Pricing of Convertible bonds in China---Migration risk based on credit rating

Proceedings of Business and Economic Studies ◽

10.26689/pbes.v3i6.1720 ◽

2021 ◽

Vol 3 (6) ◽

Author(s):

Zhang Heng ◽

Yuyang Zhao ◽

Qiguang An

Keyword(s):

Credit Rating ◽

Market Price ◽

Convertible Bonds ◽

Bond Market ◽

Convertible Bond ◽

Average Deviation ◽

Healthy Development ◽

Credit Risks ◽

Deviation Rate ◽

The Impact

At present, further research and exploration on credit risks are being carried out in the global field, and increasingly profound modern credit risks are exposed to the bond market. This requires that we cannot ignore the impact of credit rating migration risk on bond pricing, so as to adapt to the sustainable and healthy development of the bond market under the new normal of China's economy. The innovation point of this paper is to try to analyze the pricing of Convertible bonds in China from the perspective of credit rating migration risk. Tsiveriotis and Fernandes(1998) model is selected, and the credit risk in the model is assumed to be caused by the credit rating migration risk, and the credit spread is used to measure the credit rating migration risk. The research conclusion of this paper is as follows: First, it is valid to consider the risk of credit rating migration in the TF(1998) model. The market price of convertible bonds is on average 1.22% higher than the theoretical value of the model. In general, the theoretical value obtained from the model has little deviation from the market price, and has a good fitting degree. Second, from the Angle of credit rating, the selection of 32 samples of convertible bonds only empirical research shows that the credit rating of AA - convertible bonds average deviation rate is negative, suggest that the credit rating of AA - the phenomenon of convertible bonds value is underestimated, and AAA credit rating to AA, AA +, the average deviation rate of convertible bonds is positive, that credit rating AA (containing AA) more convertible bond value is overrated phenomenon, and the higher the credit rating of the average deviation rate of convertible bond, the greater the overvalued levels. It has certain guiding significance for participants in the convertible bond market.

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The Relative Informational Efficiency of Stocks and Bonds: An Intraday Analysis

Journal of Financial and Quantitative Analysis ◽

10.1017/s0022109009990305 ◽

2009 ◽

Vol 44 (5) ◽

pp. 1081-1102 ◽

Cited By ~ 78

Author(s):

Chris Downing ◽

Shane Underwood ◽

Yuhang Xing

Keyword(s):

Stock Returns ◽

Financial Distress ◽

High Frequency ◽

Convertible Bonds ◽

Bond Market ◽

Corporate Bond ◽

Informational Efficiency ◽

Corporate Bond Market ◽

Market Transparency ◽

Bond Returns

AbstractIn light of recent improvements in the transparency of the corporate bond market, we examine the relation between high frequency returns on individual stocks and bonds. In contrast to the authors of previous literature, we employ comprehensive transactions data for both classes of securities. We find that hourly stock returns lead bond returns for nonconvertible junk- and BBB-rated bonds, and that stock returns lead bond returns for convertible bonds in all rating classes. Most of the predictable nonconvertible bonds are issued by companies in financial distress, while the predictable convertible bonds are those with conversion options more deeply in-the-money. These results indicate that the corporate bond market is less informationally efficient than the stock market, notwithstanding the recent improvements in bond market transparency and associated reductions in corporate bond transaction costs.

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The Informativeness of Corporate Bond Trades

Review of Pacific Basin Financial Markets and Policies ◽

10.1142/s0219091511002196 ◽

2011 ◽

Vol 14 (03) ◽

pp. 367-428 ◽

Cited By ~ 3

Author(s):

Peter Chen ◽

Junbo Wang ◽

Chunchi Wu

Keyword(s):

Convertible Bonds ◽

Bond Market ◽

Corporate Bond ◽

Return Volatility ◽

Positive Relation ◽

Transaction Data ◽

Corporate Bond Market ◽

Dramatic Difference ◽

Asset Classes

This paper examines the informational role of trades in the corporate bond market. Using transaction data, we compare the temporal relation between volume and volatility of returns for both bonds and stocks issued by the same firms. We find a dramatic difference between these two securities. While there is a strong positive relation between return volatility and volume for stocks, this relation is much weaker for corporate bonds. This finding holds not only for straight bonds but also for callable and convertible bonds. Empirical evidence reveals a very different relation between volatility and volume in the corporate bond market than predicted by standard microstructure models. Results show that the role of volume and trade frequency can be quite different across asset classes.

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