| Summary: | 碩士 === 國立高雄第一科技大學 === 財務管理研究所 === 99 === This study employs Vector Autoregressive Model (VAR) to examine the causality relationship between convertible bond and stocks in the periods of conversion-price reset and general non-reset. Logistic regression was applied to analyze the effect of causality relationship for different financial situations and corporate governance variables. Both the past literature and this study for the general non-reset period indicated that the price of convertible bond always fall behind the stock price of the issuing company. However, for the reset period the number of companies whose stock prices lead that of the convertible bond increased. The regression analysis results showed that in the reset period the investors would like to trade the convertible bond as the company achieves higher profits, better performance and growth potential and as the company reduces the conversion price. That presents the reversal phenomenon, that is, the CB return leads the stock return, based on the uprising liquidity and information transparency.
|
|---|
