Report Industry Investment Rating - No information provided in the document Core View of the Report - The report demonstrates that the implied volatility (IV) index has a statistically significant leading predictive ability for the convertible bond market, with its effectiveness showing style rotation based on market conditions. The time lag from volatility shocks to price and valuation is T+2 to T+3 days, and the backtest timing strategy of IV indicators has excellent win - rates, providing an empirical basis for convertible bond timing strategies [66]. Summary by Directory 1. Implied Volatility as the Core Logic of Convertible Bond "Bond Selection + Timing" Strategy - IV can serve as a "sentiment thermometer" for the market, reflecting market participants' expectations of the price volatility of the underlying asset. When market risk expectations rise, IV surges; when market sentiment is stable and optimistic, IV remains low, making it a potential timing tool [16]. - Five IV indices representing different market capitalization dimensions are selected to form an indicator system for observing multi - dimensional and stylized changes in market sentiment [17]. 2. Data Pre - processing: Eliminating Non - stationarity and Spurious Regression Risks - Financial data usually has obvious trend characteristics. To avoid spurious regression, all time - series data are pre - processed by first - order difference or logarithmic difference to convert non - stationary financial sequences into stationary sequences [18]. - For price - related indicators, logarithmic difference is used to eliminate heteroscedasticity; for IV factors and conversion premium rates, direct difference is used to quantify the intensity of sentiment changes [23]. 3. Static Verification: Linear Correlation Analysis between IV Indicators and Market Targets - Based on the processed difference data, linear regression shows that there is a significant correlation between IV changes and market trends. IV indices are mostly negatively correlated with the Shanghai Composite Index and the CSI Convertible Bond Index, and positively correlated with the conversion premium rate [25][26]. 4. Timing Role of 5 Major IV Indicators Based on VAR Model and Granger Causality Test - The VAR model is used to capture the dynamic transmission relationship between multiple variables, and the Granger causality test is combined to determine the leading nature of IV indicators. The prediction effectiveness of IV indicators shows style rotation in different market environments [28]. - In the normal market environment of the full sample, large - and medium - cap volatility indicators have the strongest explanatory power for the market. In the panic period, small - cap volatility becomes the only effective early - warning signal for prices, and large - cap volatility becomes the early - warning signal for valuation [35][36]. - The prediction of the market - value - weighted conversion premium rate is robust and not easily affected by market environment changes. 50ETF IV and Shanghai 500ETF IV have a significant Granger leading relationship with the market - value - weighted conversion premium rate in both normal and panic periods [37]. 5. Impulse Response Analysis and Trading Window Definition - The impulse response function (IRF) is used to quantify the "transmission speed" and "attenuation process" of sentiment shocks. The market price reaction lags by about 2 days, and the conversion premium rate reaches its peak on the 3rd day, defining the T+2 to T+3 trading window [40][47][50]. 6. Back - test Verification: Evaluation of Timing Win - rates Based on IV Leading Indicators - The 20 - day moving average (MA20) is used to define the short - term trends of the equity and convertible bond markets, and two types of timing signals (Z - Score standardization method and price change threshold method) are constructed to capture market sentiment changes [56][60][61]. - The win - rate is defined as the "synchronization degree" between strategy instructions and actual market trends. The back - test results show that the IV factor has an excellent win - rate in the timing field, which can improve the survival ability and profit probability of investment portfolios [62][64]. 7. IV Indicators Provide Empirical Basis for Refined Timing of Convertible Bonds - The IV indicators have a dynamic leading predictive ability for the convertible bond market, and the research results provide an empirical basis for constructing high - frequency, refined, and style - adapted convertible bond timing strategies [66].