Research on the Announcement Effects of the Convertible Bonds in the A-Share Market of China

Abstract

This paper studies the announcement effects of the convertible bonds of 50 listed companies in the A-share market of China. The result shows that there are significant negative effects when the convertible bonds are issued, in other words, issuing announcement of the convertible bonds can lead stock prices to decline. However, the significances of the negative effects are different in different markets, bond types, released years and time windows. The volatility of share prices in Shanghai Stock Exchange is less than in Shenzhen Stock Exchange, and the negative effects are more significant than in SZSE. The announcement effect of the ordinary convertible bonds is more significant than the convertible bonds with warrants.