碩士 / 佛光人文社會學院 / 管理學研究所 / 92 / This article studies the possibility of the existence of abnormal returns and the changes of volatility and margin loans prior to and after the issuance of Euro convertible bonds (ECB) from 2000 to October 2003 based on the sample of 64 publicly traded electronics stocks in Taiwan to understand the appropriateness of the financing by ECB.
In order to study the impacts on its stock price after the issuance of the ECB of the company, the tests of the accumulated abnormal return, the volatility of the stock price, and the volatility of the margin loan are conducted after the issuance of the ECB.
1. The test of the accumulated abnormal return
a). The estimation of the normal return
- Estimated by using the Market Model introduced by Sharpe.
b). Parametric t-test
- The study applies standardized cross-sectional method (Chen, 1997) to perform independent test.
c). Non-parametric t-test
- Suitable to test whether the abnormal return or the accumulated abnormal return follows a non-normal distribution by applying the sign-test method.
2. The test of the magnitudes of the volatility of the stock price and of the margin loan by applying the F-test method.
The study resulted the following findings: among the 64 sampling firms, in the test of the accumulated abnormal return, found noticeable negative accumulated abnormal returns; in the test of the volatility of the stock price, found noticeable higher volatility compared to the figures prior to the issuance of ECB; in the test of the volatility of the margin loan, found around quarter to one third lower volatility compared to the figures prior to the issuance of ECB.
| Identifer | oai:union.ndltd.org:TW/092FGU00583002 |
| Date | January 2004 |
| Creators | Detong You, 游德通 |
| Contributors | Jung-Hui Liang, 梁榮輝 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 106 |
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