Option features and price discovery in convertible bonds
研究了可转换债券的期权特征是否导致价格发现，基于2019年1月至2021年12月的分钟级数据，发现可转换债券市场通过热最优路径法对股票市场有价格发现贡献，且期权特征是重要影响因素。
Abstract In this paper, we investigate whether the option features in convertible bonds lead to price discovery. On the basis of minute‐level data from January 2019 to December 2021, we find that the convertible bond market contributes to the price discovery of the stock market by using the thermal optimal path method, and that the option features in convertible bonds are an important factor affecting the price discovery ability. Regression analysis shows that the effect of option features remains significant after controlling for a range of variables, such as the size of the convertible bond, the premium rate, information shock, and volatility. In addition, we further explore the impact of the difference in trading regimes between the convertible bond market and the equity market on price discovery.