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Abstract
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Article Information:
The Empirical Research of the Relationship on Underlying Stock Volatility in China Convertible Bonds Market
Youzhi Zeng and Xiaoyu Luo
Corresponding Author: Youzhi Zeng
Submitted: July 26, 2012
Accepted: September 08, 2012
Published: April 10, 2013 |
Abstract:
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The study tries to improve the pricing efficiency of pricing models for the convertible bond by calculating the volatility of the underlying stock more accurately. By deducing the relationship between the historical volatility before the convertible bond issue which can be calculated accurately and the historical volatility of the underlying stock after the convertible bond issue which is suitable for pricing models and can’t be calculated accurately in China, the after volatility can be calculated directly and accurately.
Key words: Convertible bonds issue, pricing efficiency, the underlying stock volatility, the relationship, , ,
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Abstract
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Cite this Reference:
Youzhi Zeng and Xiaoyu Luo, . The Empirical Research of the Relationship on Underlying Stock Volatility in China Convertible Bonds Market. Research Journal of Applied Sciences, Engineering and Technology, (12): 3346-3349.
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ISSN (Online): 2040-7467
ISSN (Print): 2040-7459 |
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