We show empirically that convertible bonds act as a bridging mechanism, facilitating the integration between a firm’s debt and equity markets. While theoretical models predict a strong co-movement between corporate bond and stock returns, empirical evidence offers little support for this prediction, suggesting substantial segmentation between the two markets. We find that the issuance of new convertible bonds improves cross-market integration, whereas the pre-determined maturity of non-callable convertible bonds increases segmentation, above and beyond what can be explained by changes in default risk and other firm characteristics. Consistent with the idea that convertible bonds attract investors who seek exposure to both markets, we provide evidence that convertible bond investors are more likely to hold other securities from the same issuing firm. This suggests an increased presence of cross-market arbitrageurs, and aligns with the limits-to-arbitrage explanation for the initial segmentation between debt and equity markets.