The Arbitrage Opportunities Of The Convertible Bond In The Chinese Market

As a new financial instrument,convertible bonds has both stock characters and bond characters,which leads to its unique position in financial market.Nowadays the convertible bond market in China has a dramatic development.However,it still have so many opportunities to arbitrage in this uneffective market.This issue study the arbitrage theories about convertible bond and find that most abitarge can be classified by single-side arbitrage,double-sides arbitrage and hedging arbitrage. So we choose the empirical date of convertible bonds in ten years to find wheather the opportunities of arbitrage are existing or not. Though empirical findings,we find that unilateral arbitrage with the development of the times has gradually disappeared, and bilateral arbitrage convertible bonds are more difficult because more and more people heard about convertible bond. Thus, a combination of new financial instruments will be a direction of arbitrage must be located in the future. By constructing the case of a combination of convertible bonds and margin as well as a combination of convertible bonds and options, we study how to arbitrage for a certain combination and gives its yield curve.At last we analyzed how to use the arbitrage portfolio in different situation.