國內電子股可轉債動態交易策略實證分析

Empirical Analysis of Dynamic Arbitrage on Electronic Convertible Bonds in Taiwan

本研究以2010年底於櫃買中心交易之電子產業的國內可轉債（可轉債）共150檔為研究對象，本研究實證結果顯示，藉由多元迴歸分析，發現台灣加權股價指數報酬率與避險比率調整對達成特定報酬率之最短持有天數或特定持有天數之報酬率無顯著效果，代表可轉債動態交易策略與台灣加權股價指數走勢無顯著關係，故為市場中立交易策略（Market-Neutral Trading Strategy）。此外，最短持有天數（特定持有天數之報酬率）與可轉債隱含波動度及可轉債的溢價比率有顯著正（負）相關，而與TCRI （Taiwan Corporate Credit Risk Index） 信用評等有顯著負（正）相關，故挑選低隱含波動度、低溢價比率與高TCRI信用評等的可轉債可增加可轉債動態交易策略之獲利情況。最後，可轉債動態交易策略持有期間越短，年化平均報酬率越高，且持有21天的年化平均報酬率可高達到35.88%。

Using 150 electronic convertible bonds(CBs) trading on GreTai Securities Market in 2010 as our data, this paper empirically tests the performance of CB dynamic strategies according to the Black & Scholes option pricing formulas. From the empirical results, we demonstrate that based on the multi-regression analysis, the relationship between the minimum holding periods for particular returns, Taiwan index returns and CB hedging ratios are statistically insignificant, which implies that the CB dynamic strategy is a market-neutral trading strategy. The minimum holding periods, however, are significantly positively related to both the implied volatilities and CB premium ratios but negatively related to the Taiwan Corporate Credit Risk Index (TCRI), which indicates that the CBs with lower implied volatilities and premium ratios and higher TCRI have better performance in CB dynamic strategies. Finally, the shorter holding period of CB dynamic strategy, the better performance is. Specifically, the annual average return of the CB dynamic strategy with one-month (21trading days) holding period is up to 35.88%.