A Study of the Causality Between Convertible Bond Prices and Stock Prices in Conversion-price Reset PeriodsTime-series and Cross-section Analyses

被引：4

作者：

Wang, Ma-Ju ^{[1
]}

Lin, Yun-Wei ^{[2
]}

Lee, Tsun-Siou ^{[3
]}

机构：

[1] Natl Kaohsiung First Univ Sci & Technol, Dept Finance, Kaohsiung 824, Taiwan

[2] Wider View Secur Investment Advisory Co Ltd, Res Dept, Taipei, Taiwan

[3] Natl Taiwan Univ, Dept Finance, Taipei, Taiwan

来源：

ASIA-PACIFIC JOURNAL OF FINANCIAL STUDIES | 2015年 / 44卷 / 03期

关键词：

Convertible bond; Reset period; Causality; Reversal; MARKET LIQUIDITY; TRANSPARENCY; INFORMATION; COSTS;

D O I：

10.1111/ajfs.12096

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

This study examines the causality between the returns of convertible bonds and stocks during periods of conversion-price resets and general pre-reset in Taiwan. Profits, stock turnover, and firm size affect the significance of causality. The empirical results indicate that the returns of convertible bonds always lag behind the stock returns for general pre-reset periods. However, for reset periods, the numbers of companies for which convertible bonds lead ahead of the stock market increases. The causality reversal is based on uprising liquidity and information transparency. These results provide evidence that various reset price mechanisms affect financing market efficiency.

引用

页码：447 / 474

页数：28

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