Announcement Effects Of Convertible Bonds:An Empirical Analysis For Chinese Market

Convertible bond, which the holder has the right to convert into shares in accordance with the agreed terms of the bonds within a certain period, combines bond, stock and call options features. China’s convertible bonds market started relatively late, in the 1990 s, the Shanghai and Shenzhen two city introduction of convertible bonds, convertible bonds have been developing slowly, from 2006 the China securities regulatory commission issued new measures for the administration of the issuance of listed companies, this kind of financing tool for convertible bonds of listed companies showed great enthusiasm, especially in the current issue and a rights issue is strictly limited circumstances. Convertible bonds in our country in the issuing mechanism and design rules and there are big differences in abroad, this paper on the basis of the classical theory, combined with the actual situation of our country, studies our country convertible bonds in the prospectus the announcement effect and the release date of the convertible bond issued after the underlying stocks long-term performance, and on the basis of the effect factors of convertible bond issue announcement effect to explore, to a more thorough understanding of China’s convertible bonds issue impact on the stock market, so as to promote the development of convertible bond market in China.This article adopts the method of event study, choosing between 2002 and 2015 in our country capital market 99 issued convertible bonds as sample, choose the convertible bond prospectus released days as the event day, the convertible bond issued announcement effect for empirical research. The empirical results found that the convertible bond prospectus is released, the underlying stocks will produce positive price effect, and the most significant on the announcement date. This paper is divided into two groups and then according to the sample before and after the share reform, respectively study the convertible bond issued announcement effect on stock market.In this paper, on the basis of event study, we studied the underlying stocks in convertible bond prospectus announcement long-term performance in the future. Studies have found that before the reform of non-tradable shares, the underlying stocks after convertible bonds issued without outstanding performance, after the share reform, the underlying stocks in convertible bond issuance within 36 months after significant positive excess returns.This article selects(1, 0) events within the window of the underlying stocks excess returns as a research of convertible bonds issued announcement effect be explained variables, the influential factors of convertible bonds, the company, the market index as the explained variable to establish regression model, to study the influencing factors of convertible bond issuing effect. Finally issued announcement effect and the major shareholders holdings, the initial convertible premium rate is significantly negative correlation, and net assets yield significant positive correlation. Investor sentiment variables can well explain the volatility of the share price.