可转债即可转换为股票的债券，凭借其“下有保底，上无封顶”的特性以及T+0交易制度的优势，越来越受到A股投资者的青睐，同时，作为一种低成本的融资方式，管理层和上市公司也越来越倾向于通过发行可转债来为公司融资，因而在2018年以后，A股可转债的成交额稳步扩大，可转债市场逐渐变得火热，因此对可转债市场的研究也就变得尤为重要。 本文针对A股可转债的交易现状，给出了一个相对合理的可转债定价模型，发现了A股可转债在2022年以前存在着系统性的全面低估，但在2022年以后，A股可转债整体的估值趋于其理论价值，甚至还略有高估。和一般人的朴素想法不同的是，虽然理论上可转债的delta小于1，是一个投资风险较小的品种。但是在A股的交易实践中，可转债相对更加容易暴涨暴跌，即可转债的估值有着明显的牛熊市效应，即可转债在牛市中估值较高，在熊市中反而估值较低。 本文研究了A股可转债转股套利的可行性，发现在2019年到2021年间，将A股的折价可转债转股后第二天卖出可以获得较好的超额收益，但是，这个超额收益在2022年以后逐渐消失，这在某种意义上表明A股可转债的定价在逐步走向成熟，一些较为简单的套利策略已经不再有效。 另外，本文通过对成交额与下一天成交额的相关性分析、可转债的高开分析以及可转债相对于理论定价的溢价值和成交额的相关性分析，论证了A股可转债在2020年及以后具有显著的流动性溢价特点，并且，成交额极大的可转债下一天的平均收益率是一个显著的负值，这就引导我们在可转债投资中，应当尽可能规避一些成交额大、流动性较好的“明星”转债，而去关注一些市场关注度较低的“小众”转债，这些不被人们重视的可转债中可能蕴含着更好的投资机会。

Convertible bonds, which can be converted into stocks, are increasingly favored by A-share investors due to their characteristics of ”guaranteed floor under and no ceil- ing above” and advantages of T+0 trading system. Meanwhile, as a low-cost financing method, management and listed companies are increasingly inclined to issue convertible bonds for corporate financing, so after 2018, The turnover of A-share convertible bonds has steadily expanded, and the convertible bond market has gradually become hot. There- fore, the research on the convertible bond market has become particularly important.In this thesis, A relatively reasonable convertible bond pricing model is presented in view of the trading status of A-share convertible bonds. It is found that there is a systematic and comprehensive undervaluation of A-share convertible bonds before 2022, but after 2022, the overall valuation of A-share convertible bonds tends to its theoretical value, or even slightly overestimated. Different from the plain idea of ordinary people, although the delta of convertible bonds is less than 1 in theory, it is a kind of investment risk. However, in the trading practice of A-shares, convertible bonds are relatively more prone to booms and busts, and the valuation of convertible bonds has an obvious bull market effect. The valuation of convertible bonds is higher in the bull market, but lower in the bear market.This thesis studies the feasibility of A-share convertible bonds to equity arbitrage,a nd finds that from 2019 to 2021, the discount convertible bonds of A-share can be soldt he next day after the conversion to equity to obtain better excess returns. However, this excess returns gradually disappear after 2022, which in a sense indicates that the pricing ofA-share convertible bonds is gradually becoming mature. Some ofthe simpler arbitrage strategies no longer work.In addition, through the correlation analysis of turnover and turnover of the next day, the high opening analysis of convertible bonds, and the correlation analysis of the ex- cess value and turnover of convertible bonds relative to the theoretical pricing, this paper demonstrates that A-share convertible bonds will have a significant liquidity premium in 2020 and later, and the average yield of convertible bonds with a large turnover of the next day is a significant negative. Therefore, in the investment of convertible bonds, we should avoid some ”star” convertible bonds with large turnover and good liquidity as much aspossible, and pay attention to some ”minority” convertible bonds with low market atten- tion. These neglected convertible bonds may contain better investment opportunities.