An Empirical Study On The Impact Of Unexpected Monetary Policy On The Value Of Convertible Bonds

Convertible bonds are a kind of hybrid financial instrument that combines the attributes of bonds and stocks for refinancing by listed companies.Compared with ordinary corporate bonds,issuers can design different combinations of terms according to their own financing needs;for investors,the loss has a lower limit(debt protection)and the income has no upper limit(depending on the stock price).my country's capital market started late.It was not until 1998 that the bond market issued the first listed convertible bond—Nanhua Convertible Bond(100001.SH).In recent years,convertible bonds have become an important refinancing tool in my country's capital market,regardless of the number of issues or the size of issues However,compared with some developed countries,convertible bonds have not been widely popularized in my country's capital market,both in terms of issuance and investment.The reason is largely because the investment risk of convertible bonds is difficult to quantify,and its pricing efficiency has always been a major problem that has troubled academia.This article aims to explore the impact of central bank monetary policy on the price of convertible bonds,in order to reasonably explain the current deviation of convertible bond prices.This article includes 94 convertible bonds that were listed and traded throughout the year in 2019.Based on the factors that affect the price of convertible bonds,the market factor of money supply is introduced,and it is divided into market expectations and the actual announcement by the central bank.Monthly M2 growth rate.The empirical results show that:(1)the premium rate of convertible bonds to stock swaps is not only affected by the flow of money supply,but also the stock of currency also significantly affects the premium rate of convertible bonds;(2)The monetary policy of the central bank has a significant It is mainly affected by the expected M2 growth rate in the market,rather than the actual M2 growth rate announced by the central bank;(3)Unexpected loose monetary policy will cause the premium rate of convertible bonds to convertible stocks to rise,that is,the price of convertible bonds is overestimated;Unexpected tightening monetary policy will cause the premium rate of convertible bonds to stocks to fall,that is,the price of convertible bonds will be undervaluedIn 2019,China's convertible bond index(000832.CS1)increased by 25.15%annually,surpassing the 22.3%of the Shanghai Composite Index(000001.SH),but the turnover of 1.42 trillion convertible bonds was much lower than the 1.286 million in the A-share market 100 million yuan shows that China's convertible bond market still has huge room for development,and a reasonable price range is a good basis for the development of the convertible bond market.