전환사채 발행 비중이 일별 주가 변동성에 미치는 영향

The Effect of Convertible Bond Issuance on High-Low Stock Price Volatility

Purpose - This study aims to empirically examine how the proportion of convertible bond (CB) issuance affects daily stock price volatility. Given the hybrid nature of CBs—possessing both debt and equity characteristics—the research seeks to understand the signaling effects and risk implications of CB issuance in capital markets. Design/methodology/approach - The study utilizes panel data regression analysis to explore the relationship between the proportion of CB issuance and daily stock price volatility, measured as the daily price range (difference between highest and lowest stock prices each day). The analysis also includes sub-group tests based on firm size to identify heterogeneous effects. Findings - Empirical results yield two key findings. First, a higher proportion of CB issuance is significantly associated with increased daily stock price volatility. Second, this volatility effect is more prominent in small and medium-sized firms compared to large firms, suggesting firm size plays a moderating role in how CBs influence stock price behavior. Research implications or Originality - With the growing trend of CB issuance, this study provides timely insights into the market consequences of hybrid financing instruments. The findings highlight the need for investors to be vigilant about potential opportunistic uses of CBs by insiders. They also point to the importance of regulatory oversight and transparency in corporate financing to mitigate the potential misuse of convertible securities.