Screening Shanghai Stocks by Turnover and Outstanding Convertible Bonds

Summary

This note describes a Chinese equity screen requiring turnover between 3% and 12%, a stock code beginning with 60, and a nonempty name for an unredeemed convertible bond. The stated rationale is to focus on stocks with a specified level of trading activity that also have convertible bonds outstanding, potentially making them relevant to investors following that market.

The document gives a rule description and sample Python workflow using market and bond data to filter candidate stocks. It provides no backtest or performance evidence, and the sample implementation details do not establish that the bond-status check is reliable or that the screen predicts returns. The note itself cautions that investors need to understand convertible-bond risks. It suggests expanding the criteria with financial and liquidity measures, but does not define or evaluate those additions.

Key ideas

• The screen selects stocks whose codes begin with 60 and whose turnover falls between 3% and 12%.\nIt also requires a nonempty short name for an outstanding, unredeemed convertible bond.\nThe document offers no historical performance evidence for the selection rule.\nConvertible-bond risks and the adequacy of the sample data checks require further assessment.

Tags

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.