台灣公債市場交易量之影響因素探討

Abstract

本研究以台灣公債市場之交易量為研究對象，探討影響公債市場交易量的主要因素。並以股票市場交易量、隔夜再買回利率(Repo rate)、期間價差(Term Spreads)、違約價差(Default Spreads)、價格波動度(Price Volatility)及市場報酬(Market Return)等解釋變數，來檢驗其是否對公債交易量有所影響。同時，以債券性質變數如債券年齡(Bond Age)與債券發行額(Issue Amount)作為控制變數。再者，本文進一步地依熱/冷門券、公債年期、剩餘到期期間及金融海嘯事件分組，以探討在不同期間、不同分組下，變數對交易量的影響是否有差。 實證結果發現股票交易量與短天期債券呈顯著負相關，於海嘯期間內也呈負相關。隔夜再買回利率則呈負相關；且影響主要來自於長天期的冷門券。而違約價差、價格波動度及市場報酬皆與債券交易量呈正相關。另外，整體來看，冷門券所受到的影響大於熱門券。

We examine the determinants of trading volume in Taiwan government bond market. In order to study the characteristics of liquidity, we use stock volume, repo rate, term spreads, default spreads, price volatility and market return as the explanatory variables. Furthermore, we analyze the determinants across different classification in on-the-run or off-the-run securities, remaining-time-to-maturity and financial crisis period. We find a negative relation between stock volume and bond volume and a positive relation between volatility and volume, so does market return and default spreads. As for repo rate, we find a negative relation with volume and stronger in long-term bonds. Finally, the relations are much stronger in off-the-run securities.