Analysis of the Arbitrage Performance for Convertible Bonds in Taiwan

• Main Authors: Hsuan-yang Lin, 林軒揚
• Other Authors: Ming-shann Tsai
• Format: Others
• Language: zh-TW
• Published: 2014
• Online Access: http://ndltd.ncl.edu.tw/handle/55375008431982517881

碩士 === 國立高雄大學 === 金融管理學系碩士班 === 102 === This paper focuses on the arbitrage performance for convertible bonds and re-examines whether the arbitrage return is still robust with trading costs. The empirical results show that daily, weekly and monthly returns are positively significant without trading costs, while quarterly returns are negative. After adding trading costs, daily, weekly and monthly returns are negative. Next the regression analysis is done to explore how the factors impact the arbitrage return for convertible bonds. The regression result shows that dummy variable of Subprime Mortgage Crisis (SMC) is positively significant and dummy variable of Europe Debt Crisis (EDC) is negatively significant. The cause might be that investors transfer their instruments from stock to bond, which makes convertible market bullish in SMC. However, bonds are shocked in EDC. The credit spread of sovereign debts increases and makes convertible market bearish in Taiwan. Thus the dummy of EDC is negatively significant. Finally, the rules of convertible bonds are provided for investors to make the investment decision.