| Convertible bond is a kind of special bond with rights,which gives investors the right to convert it into common shares of the issuing company at a certain price within the agreed time.This right enables investors to have the opportunity to obtain excess returns while ensuring the investment principal.With the increasing scale of China’s convertible bond market year by year,the equity characteristics of convertible bonds are more prominent,that is,the relationship between the convertible bond price and the price fluctuation of the underlying stock is becoming closer and closer,which makes it possible to obtain more income in the convertible bond market.However,how to determine the bond stock portfolio to obtain the optimal return is an important issue in the investment field that has been concerned about and seeking optimization strategies.Under this background,this paper discusses the arbitrage strategy of convertible bonds to provide investors with a mature and feasible reference for investment decisions.The construction of convertible bond arbitrage strategy is based on its theoretical value,which consists of pure debt value and call option value.The pure debt value is calculated by using the discounted cash flow method,and the call option value is calculated by using the B-S model.Under the above premise,this paper first analyzes the feasibility of convertible bond arbitrage from three aspects: market,bond stock portfolio arbitrage and operation based on B-S model.Secondly,based on the determination of B-S model parameters,the determination of the proportion of arbitrage bond stock portfolio and the determination of the time point of selling convertible bonds and buying back stocks,the arbitrage strategy of convertible bonds based on B-S model is designed.Thirdly,through the analysis of the trading situation,profitability,effectiveness and risk of avionics convertible bonds,and the comparison with the CSI 300 index and the CSI convertible bond index,the designed arbitrage strategy is tested.The research conclusion shows that with the continuous expansion of the market scale,the characteristics of convertible bonds in China are more prominent.The price of convertible bonds has a greater relationship with the volatility of the underlying stock price.The correlation test of the two shows that there is a significant positive correlation.The convex characteristics of the price curve of convertible bonds show that this positive correlation is nonlinear,and investors can use this characteristic of convertible bonds to arbitrage between the two markets.At the same time,the theoretical value estimated by the B-S model is basically consistent with the change trend of the market price,and the model is highly significant in the regression analysis results of the two models,which proves that the model can better reflect the future market price trend of convertible bonds,and find arbitrage investment opportunities by using the price deviation of the theoretical value and market price.When the market price of convertible bonds is lower than the theoretical value of B-S model,the buy signal is triggered,that is,buy convertible bonds and short a certain number of stocks,dynamically adjust the number of short positions in stocks in an appropriate period,and sell the held convertible bonds and buy back the stocks to close the position after the value of convertible bonds returns.The back test results show that the arbitrage strategy in this paper shows stable profitability and strong risk resistance.Compared with the CSI 300 index and the CSI convertible bond index,it has a lower withdrawal rate and a higher Sharp ratio,indicating that the risk of the arbitrage strategy in this paper is relatively low,and it can obtain higher returns while taking certain risks.It is a good investment strategy. |
