Empirical Analysis of Dynamic Arbitrage on Electronic Convertible Bonds in Taiwan

• Main Authors: Wei-chiun Yang, 楊偉群
• Other Authors: Chin-wen Wu
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/14032371812098822877

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.