類別:
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/116
2024-03-28T15:27:52Z點心債券和中國公司債券信用價差的影響因素
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/62647
標題: 點心債券和中國公司債券信用價差的影響因素; Determinants of Yield Spread on Dim Sum Bonds and China Corporate Bonds
作者: TZU-LI CHEN; 陳姿利
摘要: 本研究主要是探討,在中國離岸市場發行的點心債券以及中國境內市場發行的中國公司債的信用價差是受到什麼因素影響,採用的樣本是2011年至2012年間無信評與有信評的點心債券,共有216檔,另一組是挑選有經過中誠信國際信用評級有限責任公司或是聯合資信評估有限公司的中國國內公司債。
實證結果顯示,點心債券的信用價差顯著的受到兩個解釋變數的影響,一個是人民幣升值預期,另一個則是點心債券是否有信用評等;中國國內公司債的信用價差則受到債券的期間、發行規模、信用評等與發行公司產業類型的影響;本研究的最後一部分是想探討點心債券的到期殖利率有無顯著低於中國公司債的到期殖利率,研究結果呈現出點心債券的到期殖利率顯著低於中國公司債的到期殖利率,更進一步分析後發現,點心債券和債券發行規模呈正向關係,因為和中國境內債券市場相比較的話,以人民幣計價的境外點心債券市場規模仍偏小,深度較淺。; The purpose of this study is to examine the determinants of credit spread between the Chinese offshore bond markets and the Chinese domestic bond market by using a sample of 216 dim sum bonds including rated and non-rated bonds in the Chinese offshore bond markets and a sample of 1105 bonds rated by either China Chengxin Credit Management Co., Ltd. or China Lianhe Credit Rating Co., Ltd. in the Chinese domestic bond market.
The empirical results show that the credit spread of dim sum bonds is significantly affected by explanatory variables of RMB appreciation expectation and whether dim sum bonds are rated or not. The credit spread of China corporate bonds is influenced by independent variables of the term-to-maturity of the bond issue, issue size, credit rating and the industry of the issuing corporation. The last part of this paper tries to find out if the yield to maturity of dim sum bonds is significantly lower than that of China corporate bonds. The results indicate that the credit spread of dim sum bonds is significantly lower than that of China corporate bonds and further analysis find that the credit spread of dim sum bonds is positively related to issue size due to the Chinese offshore RMB-denominated bond market which is small and lacks depth compared to the Chinese inshore bond market.2013-01-01T00:00:00Z黃金對美國通貨膨脹之避險效果
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/62485
標題: 黃金對美國通貨膨脹之避險效果; Gold as a hedge instrument against inflation in United State
作者: Ching-Tang Fang; 方敬棠
摘要: 黃金一直被認為是一種有效的通膨避險工具,因為它具有保存價值得特性。但兩千年開始十年以上的黃金牛市,但卻不見相同幅度的通膨成長,令人開始懷疑黃金的避險效果。本論文發現CAPM無法解釋黃金超額報酬,利用回歸式發現真實與非預期的通貨膨張與黃金有正相關性,證實黃金對通膨有避險效果,但預期通貨膨脹卻負相關。此外,本論文重新檢視在高通膨時時黃金價格與通膨的關係,除了發現黃金與當期通膨在長期有正相關外,預期通膨也由負轉正,隱含投資者對黃金的避險需求在高通膨時期較顯著。; Gold has long been seen as a good hedge against inflation because it acts as a store of wealth. Therefore, it is an active investment product in gold market. The bull market in gold had been lasted over a decade. This paper tests the relationship between the gold return and three kinds of inflations, actual inflation, expected inflation and unexpected inflation. We found CAPM cannot explain the gold excess return and actual and unexpected inflations are highly related to the gold return from 1982 to 2013 by regressions. It proves that gold is a tool to hedge against inflation but the coefficient of expected inflation is significantly negative. Besides, we test the relationship between inflations and gold price during the period of high inflation. We find that actual inflation is still related to the gold price in the long period and the coefficient of expected inflation turns into positive statistically, which means investors has more demand for hedging against inflation during the period of high inflation.2013-01-01T00:00:00Z黃金之不對稱GARCH市場風險值之研究
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16807
標題: 黃金之不對稱GARCH市場風險值之研究; Asymmetric GARCH Value at Risk of GOLD
作者: Yi-Ting Chen; 陳翊庭
摘要: 市場風險值VaR 已是受到廣泛應用的風險控制工具。在近年VaR模型效果估計比較的多篇研究證實了GARCH 模型在估計市場風險值的有效性及精確性後,本研究檢驗包含旋轉效果的GJR-GARCH及平移效果的NA-GARCH兩種不對稱GARCH模型與對稱的GARCHM模型比較,在不同的報酬結構之下,找出對於黃金價格具有較佳VaR值預測表現的模型。我們利用523筆日報酬率的資料,並將其分為兩個群組進行模型配置及市場風險值估算之用,依據不同信賴區間下估算出的市場風險值與實際報酬表現做比較,並另外運用其他穿透測試等項目檢驗模型的精確性。
本研究主要發現包含以下部分:
1. 從穿透次數而言,對稱的GARCHM模型和GJR-GARCH模型的表現優於NA-GARCH模型。表示不對稱的GARCH模型表現並不總是較對稱的GARCH模型好。
2. 雖然平均而言NA-GARCH表現不如對稱的GARCH模型和GJR-GARCH模型,但在所有模型中,ARMA(1,1)-NA-GARCHM(1,1)在各項穿透測試項目的表現最好。
3. ARMA(1,1)-NA-GARCHM(1,1)表現最好,我們認為是由於NA-GARCH模型不對稱的效果較小,較符合黃金價格波動小的特性。; VaR is more applicable as a financial management tool to control risk. Since the GARCH model is proved to be the useful and more accurate model in estimating VaR, in this paper, we employ the asymmetric GARCH models including the innovation-rotated GJR GARCH and the innovation-shifted NA GARCH models with different mean equations in comparison with symmetric GARCHM model to find out a more appropriate GARCH method in estimating VaR of gold price. We gathered the latest 523 daily return of gold and divided into two groups to fit the models and get the VaR estimates under each confidence level we chose.
Our major findings are described as follows:
(1) In term of violation number, symmetric GARCH model and GJR-GARCH models outperform NA-GARCH models. The result implies that asymmetric GARCH models do not outperform symmetric GARCH models (GARCHM model) all the time.
(2) We evidently find out ARMA(1,1)-NA-GARCHM(1,1) is the best fitted model in estimating VaR of gold price through forward test among GARCH models with four types of mean equations.
(3) The relatively smaller asymmetric effect of NA-GARCH models (ARMA(1,1)-NA-GARCHM(1,1)) fits better with the relatively stable character of gold price compared to GJR-GARCH models.2013-01-01T00:00:00Z高頻財務資料波動性的估計
http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/33998
標題: 高頻財務資料波動性的估計; Estimating Financial Volatility with High Frequency Data
作者: Ying-Ying Lee; 李盈瑩
摘要: The sum of squared returns, or realized volatility, of the recently available high frequency financial data should be a good estimator for integrated volatility. However, the empirical studies suggest that the market microstructure noise which contaminates the efficient prices would make realized volatility inconsistent. We review the recent literature on the estimators for integrated volatility and the market microstructure noise. We focus on the statistical properties and the empirical findings of the subsample-based estimators, e.g., Two Scales Realized Volatility (TSRV), and the kernel-based estimators. Our empirical analysis on the transactions of two actively-traded Taiwan Stock Exchange stocks does not reject the assumption that the market microstructure noise is serially independent and independent of the efficient
price. Our results support that TSRV is practically applicable for computing realized volatility of these two stocks. We also find that the jumps in the efficient prices might not be negligible by bipower variation. We propose a method to estimate the autocorrelation of the noise by the empirical autocorrelation of the log-returns.2006-01-01T00:00:00Z