放空交易與可轉債套利之研究

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姓名

蘇美珍(Mei-chen Su) 查詢紙本館藏

畢業系所

財務金融學系

論文名稱

放空交易與可轉債套利之研究
(Short Selling and the Arbitrage on Convertible Bonds)

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摘要(中)

本文主要探討本國投資人是否會利用借券與融券之管道來進行可轉換公司債之套利交易，本文以2007至2011年可轉換公司債之樣本，利用事件法觀察可轉換公司債宣告日、定價日與發行日前後的股票價格與借券融券交易量之變化，進一步將國內公開發行可轉債依照溢價率高低區分為三組樣本(低、中、高)，觀察三組樣本之借券交易與融券交易金額，研究發現可轉債之標的股票價格於定價日前持續上升，然而在定價日後股價立即下跌：另外我們也發現可轉債宣告日、定價日與發行日前後，借券與融券交易量有上升之現象，且溢價率越低之可轉債，其融券與借券交易增加幅度越高，意味轉換公司債發行之事件會造成融券與借券交易者進行標的股票與可轉債之套利交易。

摘要(英)

This paper examines whether investors engage in the arbitrage activities of the convertible bonds and their underlying stocks. The sample covers the convertible bonds issued in the period from January 2007 to December 2011. I observe the abnormal returns and the excess short selling volume in three windows: the announcement day, the pricing date, and the issuing day of the convertible bonds. All convertible bonds are classified three groups based on the issuing premium. The empirical results show that stock prices have a significant run-up before and run-down after the pricing day. Moreover, we find that short selling volume increases around the announcement, pricing, and issuing days. The lower premium is associated with a higher increase in short selling volumes, suggesting that investors would engage in the arbitrage activities when firms issue the convertible bonds.

關鍵字(中)

★ 證券借貸市場
★ 借券交易
★ 融券交易
★ 可轉換公司債
★ 可轉債套利
★ 放空交易

關鍵字(英)

★ security lending market
★ securities lending
★ short selling
★ convertible bond
★ convertible bond arbitrage

論文目次

目錄
中文摘要 ...............................I
Abstract .............................II
目錄 ...............................III
表目錄 ...............................IV
圖目錄 ...............................IV
第一章緒論 ...........................1
第一節研究動機與背景 ...................1
第二節研究目的 ........................2
第三節研究架構 ........................3
第二章台灣有價證券借貸市場之介紹 .........5
第一節台灣有價證券借貸市場發展概況 .......5
第二節美國證券借貸市場 .................15
第三節可轉換公司債之介紹 ...............19
第三章文獻回顧 ........................28
第四章研究方法 ........................35
第一節研究期間與資料來源 ...............35
第二節研究分析方法 ....................37
第五章研究結果與分析 ...................43
第六章研究結論 ........................74
參考文獻 ...............................76

參考文獻

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指導教授

徐政義(Cheng-Yi Shiu)

審核日期

2013-7-25

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