https://scholars.lib.ntu.edu.tw/handle/123456789/414606
Title: | A Study of the Causality between Convertible Bond Prices and Stock Prices in Conversion-price Reset Periods - Time-series and Cross-section Analyses | Authors: | Wang, Ma Ju Lin, Yun Wei TSUN-SIOU LEE |
Keywords: | Causality | Convertible bond | Reset period | Reversal | Issue Date: | 1-Jan-2015 | Publisher: | WILEY-BLACKWELL | Journal Volume: | 44 | Journal Issue: | 3 | Start page/Pages: | 447 | Source: | Asia-Pacific Journal of Financial Studies | Abstract: | © 2015 Korean Securities Association. This study examines the causality between the returns of convertible bonds and stocks during periods of conversion-price resets and general pre-reset in Taiwan. Profits, stock turnover, and firm size affect the significance of causality. The empirical results indicate that the returns of convertible bonds always lag behind the stock returns for general pre-reset periods. However, for reset periods, the numbers of companies for which convertible bonds lead ahead of the stock market increases. The causality reversal is based on uprising liquidity and information transparency. These results provide evidence that various reset price mechanisms affect financing market efficiency. |
URI: | https://scholars.lib.ntu.edu.tw/handle/123456789/414606 | ISSN: | 20419945 | DOI: | https://api.elsevier.com/content/abstract/scopus_id/84946843767 10.1111/ajfs.12096 |
Appears in Collections: | 財務金融學系 |
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