Empirical Analysis of Dynamic Arbitrage on Electronic Convertible Bonds in Taiwan
碩士 === 南華大學 === 財務金融學系財務管理碩士班 === 100 === Using 150 electronic convertible bonds (CBs) trading on GreTai Securities Market in 2010 as our data, this paper empirically tests the performance of CB dynamic strategies according to the Black & Scholes option pricing formulas. From the empirical res...
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ndltd-TW-100NHU053040092015-10-13T21:07:20Z http://ndltd.ncl.edu.tw/handle/14032371812098822877 Empirical Analysis of Dynamic Arbitrage on Electronic Convertible Bonds in Taiwan 國內電子股可轉換公司債動態交易策略實證分析 Wei-chiun Yang 楊偉群 碩士 南華大學 財務金融學系財務管理碩士班 100 Using 150 electronic convertible bonds (CBs) trading on GreTai Securities Market in 2010 as our data, this paper empirically tests the performance of CB dynamic strategies according to the Black & Scholes option pricing formulas. From the empirical results, we demonstrate that based on the multi-regression analysis, the relationship between the minimum holding periods for particular returns, Taiwan index returns and CB hedging ratios are statistically insignificant, which implies that the CB dynamic strategy is a market-neutral trading strategy. The minimum holding periods, however, are significantly negatively related to both the implied volatilities and CB premium ratios, which indicates that the CBs with lower implied volatilities or premium ratios have better performance in CB dynamic strategies. Chin-wen Wu 吳錦文 2012 學位論文 ; thesis 66 zh-TW |
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碩士 === 南華大學 === 財務金融學系財務管理碩士班 === 100 === Using 150 electronic convertible bonds (CBs) trading on GreTai Securities Market in 2010 as our data, this paper empirically tests the performance of CB dynamic strategies according to the Black & Scholes option pricing formulas. From the empirical results, we demonstrate that based on the multi-regression analysis, the relationship between the minimum holding periods for particular returns, Taiwan index returns and CB hedging ratios are statistically insignificant, which implies that the CB dynamic strategy is a market-neutral trading strategy. The minimum holding periods, however, are significantly negatively related to both the implied volatilities and CB premium ratios, which indicates that the CBs with lower implied volatilities or premium ratios have better performance in CB dynamic strategies.
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author2 |
Chin-wen Wu |
author_facet |
Chin-wen Wu Wei-chiun Yang 楊偉群 |
author |
Wei-chiun Yang 楊偉群 |
spellingShingle |
Wei-chiun Yang 楊偉群 Empirical Analysis of Dynamic Arbitrage on Electronic Convertible Bonds in Taiwan |
author_sort |
Wei-chiun Yang |
title |
Empirical Analysis of Dynamic Arbitrage on Electronic Convertible Bonds in Taiwan |
title_short |
Empirical Analysis of Dynamic Arbitrage on Electronic Convertible Bonds in Taiwan |
title_full |
Empirical Analysis of Dynamic Arbitrage on Electronic Convertible Bonds in Taiwan |
title_fullStr |
Empirical Analysis of Dynamic Arbitrage on Electronic Convertible Bonds in Taiwan |
title_full_unstemmed |
Empirical Analysis of Dynamic Arbitrage on Electronic Convertible Bonds in Taiwan |
title_sort |
empirical analysis of dynamic arbitrage on electronic convertible bonds in taiwan |
publishDate |
2012 |
url |
http://ndltd.ncl.edu.tw/handle/14032371812098822877 |
work_keys_str_mv |
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