The Relationship Analysis between Price Volitility of Taiwan Convertible Bonds, Euro-Convertible Bonds and Macroeconomic Variables

• Main Authors: Chia-Cheng Wu, 吳佳真
• Other Authors: Mei-Ling Chen
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/05669990426614080426

碩士 === 大葉大學 === 管理學院碩士在職專班 === 98 === By taking the convertible bond (CB) price volatility, the exchangeable convertible bond (ECB) price volatility, and macro economic variables as research samples, this study ran tests and analyses with unit root test, multi-variates regression test, error correction model, and Granger causality. The selected monthly data for CB and ECB were taken from March 2004 to January 2010 and May 2002 to July 2007, respectively. The findings are as follow. 1) There demonstrates a longterm stable equilibrium relationship between CB price volatility and the volatility of interest rate, exchange rate, cosumer price index, and weighted stock index, and that Taiwan Weighted Stock Market volatility shows a longterm positive relationship with CB price volatility. It also shows a longterm stable equilibrium relationship between ECB price volatility and the volatility of American interest rate, Taiwan-American exchange rate, American Cosumer Price Index, and American Composite Stock Index, only that there presents a longterm negative relationship between Taiwan-American exchange rate volatility and the ECB price volatility. The American Composite Stock Index volatility and the ECB price volatility reveal a longterm positive relationship. and 2) The CB price volatility and the ECB price volatility are without cross-market spillover effect.