本文主要探討本國投資人是否會利用借券與融券之管道來進行可轉換公司債之套利交易，本文以2007至2011年可轉換公司債之樣本，利用事件法觀察可轉換公司債宣告日、定價日與發行日前後的股票價格與借券融券交易量之變化，進一步將國內公開發行可轉債依照溢價率高低區分為三組樣本(低、中、高)，觀察三組樣本之借券交易與融券交易金額，研究發現可轉債之標的股票價格於定價日前持續上升，然而在定價日後股價立即下跌：另外我們也發現可轉債宣告日、定價日與發行日前後，借券與融券交易量有上升之現象，且溢價率越低之可轉債，其融券與借券交易增加幅度越高，意味轉換公司債發行之事件會造成融券與借券交易者進行標的股票與可轉債之套利交易。

This paper examines whether investors engage in the arbitrage activities of the convertible bonds and their underlying stocks. The sample covers the convertible bonds issued in the period from January 2007 to December 2011. I observe the abnormal returns and the excess short selling volume in three windows: the announcement day, the pricing date, and the issuing day of the convertible bonds. All convertible bonds are classified three groups based on the issuing premium. The empirical results show that stock prices have a significant run-up before and run-down after the pricing day. Moreover, we find that short selling volume increases around the announcement, pricing, and issuing days. The lower premium is associated with a higher increase in short selling volumes, suggesting that investors would engage in the arbitrage activities when firms issue the convertible bonds.

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1.台灣證交所出版品與委任計畫案。
2.證券櫃檯買賣中心出版品與委任計畫案。
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5.中華民國證券商業同業公會委託專題研究：證券商受託買賣外國有價證券增加融資借券業務之架構及作法研究。
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8.陳家懿，借券賣出與股價報酬率之實證研究，國立中央大學，碩士論文，民國101年。
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