The impact of refinancing transaction policy adjustment on stock market volatility

Abstract

This paper investigates the impact of refinancing transaction policy adjustment on the volatility of convertible bond market. Through GARCH model analysis, it is found that the refinancing policy adjustment significantly affects the spillover effect between CSI 300 index and CSI convertible bond index, indicating that the policy adjustment leads to differences in the speed of market reaction to common information and the degree of change in yield, which reflects the market's sensitivity to the policy change as well as the adaptability of market participants. The empirical results show that the convertible bond market has a significant dynamic impact on the stock market during the policy adjustment period, accompanied by the improvement of market efficiency, which supports the hypothesis that the refinancing policy adjustment has a significant impact on the spillover effect between the two markets.