Research On Influence Of Exchangeable Bond On Stock Price Of Listed Companies

The first private exchangeable bond,belonging to small and medium-sized enterprise(“SME”)(hereinafter referred to “Fuxing Bond 13”),was successfully issued on 14 th October,2013,and completed its 100% share swap in the following year,which marked the returning of Exchangeable Bond(“EB”)to the stage of China’s financial market and thus has played a great role in optimizing the market.So far EB has operated for three years,yet further study is still in need on how the issuance of EB influences the stock market.Therefore,this thesis mainly focuses on how the issuance of EB will impact on the stock prices of listed companies,and analyzes whether the issuance of EB will cause drastic fluctuations of stock prices to disclose the practical influence brought by EB,which can provide empirical backup for its common issuance in the future.After referring to sufficient research on relevant and similar documents,this thesis breaks the impact of the issuance of EB on the stock prices of listed companies into two phases,i.e.short-term influence and medium to long-term one.Considering its short history and weak theoretical foundation,this thesis first illustrates the definition,market environment and basic function of EB from a theoretical perspective,so as to set a foundation for the following empirical analysis.In the empirical analysis,the filtered sample is available through the sample selection process.In accordance with the filtered sample,daily stock price data of the selected objectives covering recent two years can be obtained.In addition,the event study method and t-test method are adopted to analyze the aforesaid short-term impact;while by combing the event study method with the modified CAPM model through GARCH model,and further following the process of ADF test,residual autocorrelation test,conditional heteroscedasticity test and Wilcoxon signed rank test,the medium to long-term impact can be analyzed.As a conclusion,it can be seen that the issuance of EB would not cause drastic fluctuations of the stock prices of the listed companies;on the contrary,it even stabilize it,from both a short-term and medium to long-term perspective.