Intuitional and Quantitative Methods in DELTA Arbitrage for Convertible Bond

• Main Authors: Chian Fang, 方騫
• Other Authors: 林盈課
• Format: Others
• Language: zh-TW
• Published: 2016
• Online Access: http://ndltd.ncl.edu.tw/handle/50620171962712787642

碩士 === 國立中興大學 === 財務金融學系所 === 104 === This study use convertible bond delta arbitrage strategy with new measure to replace delta ratio and adding an appropriate arbitrage timing, in the period of 2010 to 2015 all convertible bonds and its own company’s stock as pairs of samples, and use intuitional strategies and quantile regression quantitative method strategies to examine weather have arbitrage between convertible bond market and stock market. The empirical results show that the convertible bond delta arbitrage strategy of quantitative method strategies are better than intuitional strategies, and quantitative method strategy’s five factors model which adding TAIFEX VIX are better than four factors model, and in quantitative method strategy’s extreme cases have better per-formance, if follow the arbitrage strategies, cumulative return will be positive, also confirmed the quantitative method strategies of this study, with the new measure of hedge ratio to make convertible bond delta arbitrage strategy benefit in Taiwan mar-ket.