台灣可轉換公司債之靜態套利實證研究

Abstract

台灣的金融市場比起以往已越來越成熟，現在也出現越來越多的新金融商品。但是受制於一些條件與知名度，使得可轉債的交易熱絡程度還是不及股票市場。現在的可轉債交易已採取新制的轉換制度，不論在交易效率上或是成本上皆比以往更有效率且更加低廉。而且現今的監理機制亦越來越健全，投資人取得資訊之平台與網站也越來越多元。在這樣的環境之下，本研究希望探討與過去可轉債相關研究是否存在差異，且造成此差異的原因為何？ 國內近年可轉債之研究皆著重在透過財務工程之模型設計，去評斷出可轉債之理論價格與市場上實際價格之差距。而本研究卻採取實證研究的方式，去印證國內近三年之可轉債。本研究共採納了295個上市、上櫃之可轉債樣本，並試著探討這些樣本是否存在著顯著的靜態套利機會。一旦發現有顯著的套利機會後，本研究再針對這些樣本作進一步的分析與探討，試著找出套利的歸因。 過去有些相關研究認為台灣的金融市場是不具有效率性的，而本研究的結果可以支持部分的論點。本研究將這些樣本做歸納與分類，舉例來說：可轉債所屬的產業類別、發行數量的多寡、以及不同的承銷商等。本研究發現某些類別的可轉債確實存在較高的可套利機會，也與過去某些可轉債研究之結論不謀而合。最後本研究也提供了一些變因，在未來可以繼續做進一步的研究與探討。

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.