Empirical Analysis of Static Arbitrage on Domestic Market
Date Issued
2014
Date
2014
Author(s)
Wang, Wei-Hsiang
Abstract
Financial market in Taiwan recently is more progressing and mature than before, there are more and more investment tools appear. But due to some restrictions and familiarities, the convertible bonds are not as popular as stocks. Actually, now the system of trading in convertible bonds were already renewed, so it’s more efficient and cost less than before to trade convertible bonds. Also the monitor system is sound and the information is easy to get from some open platforms or websites. So the purpose of this research is to find out that is there still some differences between now and before？ What’s the difference between the situation now and the research done by others before?
The papers about convertible bonds recently were about setting some financial engineering models to see if the price in practice matches up with the theoretical price or not. Rather than made the same research, I decided to make an empirical study about the convertible bonds in Taiwan these three years. In this paper I had collected 295 listed and stock-published convertible bonds in Taiwan, to find out whether there existed some significant opportunities to make profits by static arbitrage strategies. If there were some chance to arbitrage in convertible bond markets, then I would go further to see what’s the main factors to make profits.
Some studies before showed that the financial market was not efficient in Taiwan and this paper supported partial evidences. In this research, I divided samples by some categories, for example, the industry belongs to, the quantity of convertible issued, and the underwriters of convertible bonds, etc. In this paper there showed some categories did exist higher opportunities to arbitrage between convertible bonds and the stocks. This conclusion acted in cooperation with some studies before, and also set up some factors which could be a topic for further research in the future.
Subjects
可轉換公司債
無風險套利
靜態套利
交易模型
Type
thesis
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