The lead lag relationship between convertible bonds and stocks: a perspective based on trading mechanism

被引：0
|
作者：
Jin, Liwei [1 ]
Yuan, Xianghui [1 ,3 ]
Lu, Keji [1 ]
Wang, Shihao [1 ]
Li, Zhichao [2 ]
机构：
[1] Xi An Jiao Tong Univ, Sch Econ & Finance, Xian, Shaanxi, Peoples R China
[2] Xi An Jiao Tong Univ, Sch Software Engn, Xian, Shaanxi, Peoples R China
[3] Xi An Jiao Tong Univ, Sch Econ & Finance, 74 Yanta West Rd, Xian 710061, Shaanxi, Peoples R China
来源：
APPLIED ECONOMICS | 2024年
基金：
中国国家自然科学基金;
关键词：
Lead-lag; convertible bonds; T+0; price limits; stock; G10; G12; G14; 2; TIME-SERIES; INDEX FUTURES; NONPARAMETRIC DETERMINATION; SPOT-INDEX; PRICE; MARKETS;
D O I：
10.1080/00036846.2024.2337815
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
Based on minute-level high-frequency data, this paper examines the lead-lag relationship between convertible bonds and the stock market by using the thermal optimal path method. It is found that convertible bonds lead the stock market at both index and individual levels. Regression analysis shows that the unique 'T + 0' trading mechanism and wider price limits of convertible bonds significantly contribute to their leading effect. Additional analysis shows that the leading effect is significantly reduced when the price limit of convertible bond market is narrowed. Our findings can potentially help regulators to improve and develop the convertible bond market, and also be of value to investors in developing trading strategies.
引用
收藏
页数：13
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