Study On The Linkage Relationship Between Convertible Bond Value Deviation And Stock Price

Convertible corporate bond is a hybrid financial instrument,which has the dual characteristics of equity and creditor’s rights.Once it came out,it was sought after by issuers and investors.Especially after the introduction of the new refinancing regulations in 2017,the market scale of convertible bonds was further expanded,the market participants gradually increased,and its influence in China’s financial system was increasing day by day.In 2020 alone,more than 200 convertible bonds were issued,and the financing scale was close to 280 billion.However,compared with the major convertible bond markets in Europe and America,China’s convertible bond market is still in the stage of continuous exploration,which started late and has huge room for development.In recent years,with the large-scale outbreak of convertible bonds in a short period of time and the violent fluctuation of prices,the market’s judgment on its actual value is biased.Scholars at home and abroad have little research on the value deviation of convertible bonds,especially on the linkage relationship between the value deviation of convertible bonds and the stock price.Therefore,based on the latest data of convertible bonds market,this paper studies the value deviation of convertible bonds and deeply explores the correlation between the value deviation of convertible bonds and the stock price,providing investment reference for issuers and investors.Under this background,this paper takes Su Yin convertible bonds,which was issued and listed in 2019 and has entered the conversion period,as an example,sorts out the relevant theoretical literature on the pricing of convertible bonds and the linkage relationship between convertible bonds market and stock market,calculates the theoretical value of Su Yin convertible bonds in 522 trading days from April 3,2019 to June 4,2021 with the revised Black-Scholes pricing model,and compares it with the daily closing price of the market.The results show that the theoretical value of the convertible bonds of Su Yin and the actual market price change in the same direction,and the fluctuation degree of the two is similar,which can reflect a certain correlation,and the degree of value deviation between the two has been kept in a relatively fixed range.Then,in the empirical part,two groups of time series are obtained by calculating the value deviation of Su Yin convertible bonds and the stock price,and a two-variable vector autoregressive model is constructed.By using impulse response function,variance decomposition and Granger causality test,it is found that there is a long-term equilibrium relationship between the value deviation of Su Yin convertible bonds and the stock price,and the impact of the value deviation of Su Yin convertible bonds has a greater impact on the stock price fluctuation,while the impact of the stock price has a smaller impact on the value deviation of Su Yin convertible bonds.Finally,suggestions are put forward for investors and issuers respectively.The fluctuation of the stock price will have a significant impact on the deviation of the value of convertible bonds.When the stock price fluctuates sharply,the risk of the stock is greater at this time,and the risk averse will transfer the funds into convertible bonds,so that the theoretical value of convertible bonds will be improved and the income from investing in convertible bonds will be more stable.