碩士 / 大葉大學 / 管理學院碩士在職專班 / 98 / By taking the convertible bond (CB) price volatility, the exchangeable convertible
bond (ECB) price volatility, and macro economic variables as research samples, this
study ran tests and analyses with unit root test, multi-variates regression test, error correction
model, and Granger causality. The selected monthly data for CB and ECB were
taken from March 2004 to January 2010 and May 2002 to July 2007, respectively. The
findings are as follow. 1) There demonstrates a longterm stable equilibrium relationship
between CB price volatility and the volatility of interest rate, exchange rate, cosumer
price index, and weighted stock index, and that Taiwan Weighted Stock Market volatility
shows a longterm positive relationship with CB price volatility. It also shows a
longterm stable equilibrium relationship between ECB price volatility and the volatility
of American interest rate, Taiwan-American exchange rate, American Cosumer Price
Index, and American Composite Stock Index, only that there presents a longterm negative
relationship between Taiwan-American exchange rate volatility and the ECB price
volatility. The American Composite Stock Index volatility and the ECB price volatility
reveal a longterm positive relationship. and 2) The CB price volatility and the ECB
price volatility are without cross-market spillover effect.
| Identifer | oai:union.ndltd.org:TW/098DYU01121148 |
| Creators | Chia-Cheng Wu, 吳佳真 |
| Contributors | Mei-Ling Chen, 陳美玲 |
| Source Sets | National Digital Library of Theses and Dissertations in Taiwan |
| Language | zh-TW |
| Detected Language | English |
| Type | 學位論文 ; thesis |
| Format | 83 |
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