Exploring the multifaceted impacts of convertible bond issuance on stock market quality: Evidence from China
研究了中国可转换债券发行对股票市场流动性、价格效率、超额收益和波动性的影响，发现其提升流动性和价格效率但增加波动性并降低超额收益，对小型公司、低评级债券和负面情绪时期影响更强。
Abstract We investigate how convertible bond issuance impacts stock market quality across four dimensions: liquidity, price efficiency, excess returns, and volatility, using Chinese market data. Findings reveal that convertible bond issuance enhances liquidity and price efficiency but also leads to increased volatility and reduced excess returns. We identify two primary mechanisms: first, the conversion of convertible bonds impacts all four dimensions of market quality; second, high‐frequency trading of these bonds reduces stock market volatility, mitigating the overall effect. Heterogeneity analysis indicates that these effects are stronger among firms with smaller market capitalizations, lower‐rated convertible bonds, and during negative sentiment periods.