TITLE:
The Announcement Effect of Exchangeable Bonds in China
AUTHORS:
Xi Wang
KEYWORDS:
Exchangeable Bonds, Announcement Effect, Event Study Method, Abnormal Return
JOURNAL NAME:
Technology and Investment,
Vol.8 No.2,
May
26,
2017
ABSTRACT: The exchangeable corporate bonds have been so popular since entering China. Because the time is short, there are few empirical researches on the announcement effect of exchangeable bonds in China. Based on the event study method, the article carries the empirical study on the announcement effect of the exchangeable bonds which their target company’s stocks are issued in China's A-share stock market. The results show that there is a negative influence on the market when the announcement announced. On the six days before the event day, the abnormal return is significantly positive, while it’s negative on most of the other days, and is not significant. At the same time, the cumulative abnormal returns of each window period are not significant. The Shanghai A-share stock market may exist news leaked in advance, but once the news is disclosed, the market can digest the message soon, the stock price can return stable in a short time, so it is satisfied with the effective market. The validity of Shanghai A-share market will also need further enhance. It needs to speed up the improvement of the financial system, further refine trading rules, create rich financial derivatives for people to use, perfect the legal laws and regulations, focus on the regulations, and standardize China’s financial market, so it can develop toward a good direction.