Issuance Announcement Effect Of Convertible Bonds In Chinese Market

With the continuous development and improvement of capital market in China,various emerging financial instruments have emerged one after another,such as futures,convertible bonds,options,exchangeable bonds,and so on,which play a decisive role in Chinese capital market.Convertible bond,which has a history of more than one hundred years in the developed capital market abroad,has appeared for more than two decades in China.However,convertible bonds have become a kind of investment and financing tool that cannot be ignored in Chinese capital market because convertible bonds have the dual nature of stock and debt.Due to the earlier birth of convertible bonds abroad,foreign scholars' research on convertible bonds in developed foreign capital markets has been quite perfect.In China,due to the late appearance of convertible bonds and the limited number of convertible bonds issued,there are some studies on the announcement effect of convertible bonds,but their conclusions are inconsistent.Based on the above research status,this paper combines the actual practice of China's capital market,and chooses the convertible bonds that were successfully issued between 2006 and 2017 after the reform of non-tradable shares as sample to discuss and analyze the effect of the issuance announcement of convertible bonds in China.Based on this work,this paper studies the factors that affect the announcement effect of convertible bond issue,so as to understand the mechanism of the impact of the disclosure of the convertible bond issuance information on the volatility of the stock price.This article adopts the event study and the market adjustment model,and chooses the announcement date of the convertible bond issuance as the event date to calculate and test the abnormal return rate in the entire event period of the convertible bond issuance announcement and obtain the announcement effect of the convertible bond issuance.On the basis of above research,this article establish a multiple linear regression model which chooses the abnormal return rate on the announcement day of convertible bond issuance as an explanatory variable and the basic characteristic data of convertible bond issuers and convertible bonds as explanatory variables to study the factors affecting the announcement effect of the convertible bonds in China.Finally,based on the conclusions,this article puts forward some suggestions for participants in Chinese convertible bond market.Through the empirical analysis of this article,the conclusions are as follows: in Chinese capital market,the issuance of convertible bonds has a significant positive announcement effect,that is to say,the disclosure of the announcement information of convertible bonds will bring significant positive abnormal return to the underlying stock,which also indicates that the issuing of convertible bonds is a good news for investors.In addition,market condition,which maybe a bear market or bull market,has a certain impact on the announcement effect of the convertible bond issue in China,but it is not significant.The announcement effect in the bear market is more obvious than the announcement effect in the bull market.In view of the factors affecting the issuance announcement effect of convertible bond,it is found that the announcement effect of convertible bonds is positively related to corporate growth,financial leverage,and the nature of the actual controller,but significantly negatively related to the initial transfer premium rate and the proportion of large shareholders.