http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/116 Mon, 06 Apr 2026 04:29:56 GMT 2026-04-06T04:29:56Z 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. Tue, 01 Jan 2013 00:00:00 GMT http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/62647 2013-01-01T00:00:00Z 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. Tue, 01 Jan 2013 00:00:00 GMT http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/62485 2013-01-01T00:00:00Z 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. Tue, 01 Jan 2013 00:00:00 GMT http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/16807 2013-01-01T00:00:00Z http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/101565 標題: 高額樂透獎金對當沖行為之影響; The Impact of Large Lottery Jackpots on Day Trading Activity 作者: 楊欣樺; Xin-Hua Yang 摘要: 當沖交易因其高頻率、短期且高風險的特性，常被視為具高度博弈色彩的交易活動，其在心理層面上與樂透投注相似，皆能滿足散戶投資人對不確定性、即時回饋與刺激感的需求。因此，本研究以2017年4月28日當沖證交稅減半實施起至2024年12月31日為主要研究期間，並以大樂透及威力彩之合計累積獎金作為自然實驗，檢驗高額頭獎出現時，散戶的注意力與賭博需求是否會自股市轉移轉移至樂透，進而產生形成替代效果，或因整體賭博情緒升溫而同時推升當沖活動，呈現互補效果。 實證結果顯示，當樂透累積獎金超過新臺幣五億元時，當沖交易量平均下降 4.97%，顯示樂透與當沖之間存在顯著的替代關係，且該效果主要集中於散戶偏好程度較高且具強烈賭博特徵的股票族群，其當沖交易量降幅介於 5.21% 至 11.82%。然而，交易量下降並未伴隨短期報酬率的顯著變化，顯示市場仍為效率。此外，非當沖散戶交易量的降幅約 6.4%，大於當沖交易者，並未支持當沖交易者相較非當沖交易者具更強賭博動機的假說。市場情境分析進一步指出，替代效果具有情境異質性，多數時期以替代效果為主，但在降息循環或長期熊市中，樂透與當沖行為則可能轉為互補關係。; Day trading is often regarded as a gambling-like activity due to its high frequency, short holding periods, and substantial risk, offering retail investors uncertainty and excitement similar to lottery gambling. This paper uses large lottery jackpots in Taiwan as a natural experiment over the period from April 28, 2017, following the implementation of the day-trading tax cut, to December 31, 2024, to examine whether the occurrence of a high jackpot crowds out day trading through a substitution effect or instead generates complementary spillovers via elevated gambling sentiment. The results show that when lottery jackpots exceed NT$500 million, day trading volume declines by an average of 4.97%, indicating a significant substitution between lottery gambling and day trading. This effect is concentrated among stocks with strong retail investor preference and lottery-like characteristics, for which day trading volume decreases by 5.21% to 11.82%. Despite reduced trading activity, no statistically significant short-term returns are observed, suggesting that market prices remain efficient. Moreover, the decline in non–day-trading retail trading volume, at approximately 6.4%, is larger than that of day traders, providing no evidence that day traders exhibit stronger gambling motives than other retail investors. Finally, the substitution effect varies with market conditions: it dominates in most periods but may turn into a complementary relationship during rate cut cycles or prolonged bear markets. Thu, 01 Jan 2026 00:00:00 GMT http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/101565 2026-01-01T00:00:00Z