The Empirical Study on the Static and Semi-Dynamic Arbitrage Stategies of Convertible Bonds with Distinct Credit Ratings

• Main Authors: Jia-wen Shr, 施佳妏
• Other Authors: Chin-wen Wu
• Format: Others
• Language: zh-TW
• Published: 2012
• Online Access: http://ndltd.ncl.edu.tw/handle/84169941892228198298

碩士 === 南華大學 === 財務金融學系財務管理碩士班 === 100 === 　　Using the TCRI (Taiwan the Corporate Credit Rating Index) of the Taiwan Economic Journal database as the proxy of credit rating, this paper empirically studies the arbitrage opportunities of 227 convertible bonds (CBs) listed in Taiwan GreTai securities market. This paper investigates the trading frequency of static arbitrage (or called convertible arbitrage), the shortest holding trading period of put provision arbitrage, and the the shortest holding trading period of semi-dynamic arbitrags with distinct shorting sale ratios and the required rate of return of investors, respectively. In addition, we further discuss the return distributions of the three CB arbitrage strategies with different credit risk profiles. 　 　　From the empirical results, we demonstrate that for the lower credit risk profile (TCRI=2, 3, and 4), the Microelectronics CB with TCRI equal to 3 has the best performance in convertible arbitrage, Globe Unionindustrial CB with TCRI equal to 4 has the best performance in put provision arbitrage, and the Powertech Industrial CB with TCRI equal to 4 has the best performance in semi-dynamic arbitrage. For the moderate credit risk profile (TCRI=5 and 6), the Zenitron CB with TCRI equal to 5 has the best performance in convertible arbitrage, Wholetech CB with TCRI equal to 6 has the best performance in put provision arbitrage, and the Lotus CB with TCRI equal to 6 has the best performance in semi-dynamic arbitrage. For the higher credit risk profile (TCRI=7, 8, and 9), the Arima Optoelectronicsent CB with TCRI equal to 9 has the best performance in convertible arbitrage, Ampire CB with TCRI equal to 7 has the best performance in put provision arbitrage, and the GIA TZOONG CB with TCRI equal to 7 has the best performance in semi-dynamic arbitrage.