Abstract
We construct a multilayer network to study the interconnectedness between convertible bonds and underlying stocks in China by using the high-frequency data of 43 publicly listed firms. Most of convertible bonds have conspicuous cross-market influence on underlying stocks, especially on their corresponding underlying stocks. Traditional service firms are susceptible to the price fluctuations of other firms, whereas the high-tech firms are likely to cause the fluctuations of others. Global connection density increases after positive events but decreases after negative events. Our study provides useful information for regulators to formulate supervisory policies and help investors to optimize investment portfolios.
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