The Study About The Price Difference Between The Stock-leaning Convertible Bond And The Stock In One Day

This paper mainly studies the price difference between the stock-leaning convertible bond and the stock in one day and tries to find the reasons what leads to the price difference.This study has two meanings: one is the practical operation,which is convenient for investors to make better investment decisions in the face of different investment choices,or through which they can find arbitrage opportunities.Second,it can effectively reveal the completely different results caused by the difference between T + 0 system and T + 1 system.This research has never been studied before.The research object of this paper is mainly from 2017 to the first half of 2019,all stock-leaning convertible bonds and the stocks.In order to study the relationship within the day in detail,this paper mainly focuses on the 30 minute level data,so as to study the 30 minute state of convertible bonds and stocks,calculate their price differences every 30 minutes,and then make regression with some factors.These factors refer to the literature,including transaction amount,interest rate,volatility,index and other factors.Through the study,we can find that there is still a significant negative alpha after a series of factors explain the daily price difference between the convertible bonds and stocks,and this result is robust.This can effectively show that the T + 0 system is more flexible and people are more willing to trade under the T + 0 system with high margin of safety,which makes investors pay more,so it produces significantly negative alpha.