基期股價漲跌幅對海外可轉換公司債轉換價差之影響－以縱橫門檻分析

Effects of Euro-Convertible Bond Spread on the Base Period Stock Price Fluctuations: A Panel Threshold Analysis

張德育(Teh-Yu Chang)

指導教授 ： 聶建中

共同指導教授 ： 謝劍平

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2007年)

https://doi.org/10.6846/TKU.2007.00422

摘要

在以往對可轉債市場的研究，大部份探討的是發行可轉債對發行公司財務報表的影響、可轉債的評價、理論價格與現貨的價差、信用風險及可轉債套利等範圍，但對於「海外可轉債的轉換溢價與現貨股價之間的價差變化關係」卻較少提到，尤其當可轉債執行套利時，海外可轉換公司債通常所呈現的是折價情況，本研究依實務案例予以探討，並嘗試以Hansen（1999）縱橫門檻自我迴歸模型（Panel Threshold Autoregression Model）進行實證分析，研究現貨股價的漲跌幅如何直接影響可轉債轉換溢價的變化情況。本研究以台灣上市櫃公司溢價發行的海外可轉換公司債為研究對象，完成發行後海外可轉債的轉換價格與股價之間的變化。為了瞭解實際的變動，而將海外可轉債以市場價格轉換為與股價相同貨幣的價值，計算兩者之間的價差，此海外可轉債轉換價差即為海外可轉債價格與股價之間的變動關係。本研究實證結果證實價差與股價波動間存在門檻值，並將可轉換公司債交易市場的現況予以討論，提出形成門檻值可能發生的原因。

關鍵字

海外可轉換公司債 ； 縱橫單根檢定 ； 縱橫門檻

並列摘要

The majority of previous research on Euro-convertible bond market has focused on the following aspects: effects of offering convertible bonds on company financial statements, pricing convertible bonds, spread between theoretical and spot prices, credit risk and convertible bond arbitrage, etc. However, variability of the spread between the conversion premium of Euro-convertible bonds and spot stock price was less frequently mentioned－especially when carrying out arbitrage, Euro-convertible bonds often trade at a discount. In addition to investigate these issues through practical cases, in this thesis we propose to use Panel Threshold Autoregression Model (Hansen, 1999) to practically analyze how the spot stock price fluctuations directly effect the variability of convertible bond premium. This research is mainly to probe into the change between the stock price and the conversion price of Euro-convertible bonds issued at a premium by TSE & OTC listed companies of Taiwan. To identify real price fluctuations, Euro-convertible bonds are converted at the market price to the same currency as the stock price. We then evaluate the underlying price difference, which reflects the variability between the stock price and Euro-convertible bond price. This research real example result verifies that the price differential fluctuates with the stock price one is depositted in threshold value. And discuss the present situation of the convertible company debt trade market. Put forward and form the reason why threshold value may happen.

並列關鍵字

Euro-convertible bond ； panel unit root ； panel threshold

參考文獻

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