台灣公債市場交易量之影響因素探討

Jun-Hao Chen; 陳俊豪

請用此 Handle URI 來引用此文件： http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/50939

完整後設資料紀錄

DC 欄位	值	語言
dc.contributor.advisor	胡星陽
dc.contributor.author	Jun-Hao Chen	en
dc.contributor.author	陳俊豪	zh_TW
dc.date.accessioned	2021-06-15T13:07:49Z	-
dc.date.available	2017-07-04
dc.date.copyright	2016-07-04
dc.date.issued	2016
dc.date.submitted	2016-06-30
dc.identifier.citation	一、中文文獻部分吳羿璇 (2012)，「台灣公司債流動性之實證研究」，國立臺灣大學財務金融學系碩士論文。阮清華 (2015)，「淺談我國中央政府公債發行制度與現況」，亞洲金融季報─秋季號，p.27-35 曾秋萍 (2009)，「台灣公債市場流動性影響因素─成交量高峰前後期之探討」，淡江大學財務金融學系碩士在職專班碩士論文。蘇香珍 (2006)，「台灣公債市場流動性影響因素探討」，中正大學財務金融研究所碩士論文。二、英文文獻部分 Admati, A.R., Pfleiderer, P., 1988, “A Theory of Intraday Patterns: Volume and Price Variability,” Review of Financial Studies 1, 3-40. Alexander, G., A. Edwards, and M. Ferri, 2000, “The Determinants of the Trading Volume of High-Yield Corporate Bonds,” Journal of Financial Markets, 3(2), 177-204. Amihud, Y., H. Mendelson, 1989, “The Effects of Computer Based Trading on Volatility and Liquidity,” in H. L. Lucas and Robert A. Schwartz, eds., The Challenge of Information Technology for the Securities Markets: Liquidity, Volatility, and Global Trading. Dow Jones– Irwin, 59-85. Amihud, Yakov, and Haim Mendelson, 1991 “Liquidity, Maturity, and the Yields on U.S. Treasury Securities,” Journal of Finance 46, no. 4: 1411-1425. Brandt, M., Kavajecz, K., 2004, “Price Discovery in the U.S. Treasury Market: the Impact of Order Flow and Liquidity on the Yield Curve,” Journal of Finance 59, 2623-2654. Brunnermeier, M., Pedersen, L.H., 2009, “Market Liquidity and Funding Liquidity,” Review of Financial Studies 22, 2201-2238. Chakravarty, S., Sarkar, A., 1999, “Liquidity in U.S. Fixed Income Markets: A Comparison of the Bid-Ask Spread in Corporate, Government and Municipal Bond Markets,” Staff Report Number 73, Federal Reserve Bank of New York. Chan, K., Fong, W., 2000, “Trade Size, Order Imbalance, and the Volatility–Volume Relation,” Journal of Financial Economics 57, 247-273. Chordia, T., R. Roll, and A. Subrahmanyam, 2001, “Market Liquidity and Trading Activity,” Journal of Finance, 56, 501-530. Chordia, T., A. Sarkar, and A. Subrahmanyam, 2005, “An Empirical Analysis of Stock and Bond Market Liquidity,” The Review of Financial Studies, Vol. 18, No. 1, 85-129 Demsetz, H. 1968, “The Cost of Transacting,” Quarterly Journal of Economics, 82, 33-53. Downing, C., Zhang, F., 2004. “Trading Activity and Price Volatility in the Municipal Bond Market,” Journal of Finance 59, 899-931. Duffie, D., Garleanu, N., Pedersen, L.H., 2007, “Valuation in Over-the-Counter Markets,” Review of Financial Studies 20, 1865-1900. Fleming, J., Kirby, C., Ostdiek, B., 2006a. “Stochastic Volatility, Trading Volume, and the Daily Flow of Information,” Journal of Business 79, 1551-1590. Fleming, J., 2002, “Are Larger Treasury Issued More Liquid? Evidence from Bill Reopenings,” Journal of Money, Credit, and Banking, 34, 707-735. Fleming, J., 2003, “Measuring Treasury Market Liquidity,” Federal Reserve Bank of New York Economic Policy Review, Vol. 9 (September), 83-108. Foster, F.D., Viswanathan, S., 1990, “A Theory of The Intraday Variations in Volume, Variance, and Trading Costs in Securities Markets,” Review of Financial Studies 3, 593-624. Goyenko, R., A. Subrahmanyam, and A. Ukhov, 2011, “The Term Structure of Bond Market Liquidity and Its Implications for Expected Bond Returns,” Journal of Financial and Quantitative Analysis, Vol. 46, No. 1, 111-139 Hong, G. and A. Warga, 2000, “An Empirical Study of Corporate Bond Market Transactions,” Financial Analysts Journal, 56, 32-46. Jensen, Gerald R., Jeffrey M. Mercer, and Robert R. Johnson, 1996, “Business Conditions, Monetary Policy, and Expected Security Returns,” Journal of Financial Economics 40, 213-237. Jones, Charles M., Gautam Kaul, and Marc L. Lipson., 1994, “Transactions, Volume, and Volatility,” Review of Financial Studies 7, no. 4: 631-51. Karpoff, Jonathan M., 1987, “The Relation between Price Changes and Trading Volume: A Survey,” Journal of Financial and Quantitative Analysis 22, no. 1: 109-26. O'Hara, M., 1995, Market Microstructure Theory, Basil Blackwell, Cambridge, MA. Schwartz, R. A, 1988, Equity Markets: Structure, Trading, and Performance, New York: Harper & Row, Inc. Wang, J., Wu, C., 2015, “Liquidity, Credit Quality, and the Relation between Volatility and Trading activity: Evidence from the Corporate Bond Market,” Journal of Banking and Finance 50, 183-203.
dc.identifier.uri	http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/50939	-
dc.description.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。	zh_TW
dc.description.abstract	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.	en
dc.description.provenance	Made available in DSpace on 2021-06-15T13:07:49Z (GMT). No. of bitstreams: 1 ntu-105-R03723042-1.pdf: 964362 bytes, checksum: 9f554439a74e0da0a683adb129394f20 (MD5) Previous issue date: 2016	en
dc.description.tableofcontents	口試委員會審定書……………………………………………………………………. i 誌謝……………………………………………………………………. ……………. .ii 中文摘要……………………………………………………………………………… iii 英文摘要………………………………………………………………. ……………... iv 目錄…………………………………………………………………………………….. v 圖目錄…………………………………………………………………………………. vi 表目錄………………………………………………………………………………… vii 第一章緒論………………………………………………………….………………. 1 第一節研究背景與動機……………………………………………………….. 1 第二節研究架構……………………………………………………………….. 3 第二章文獻回顧………………………………………………….. ………………… 4 第一節流動性的定義………………………………………………………….. 4 第二節衡量流動性的各項指標……………………………………………….. 4 第三節交易量與流動性的影響因子………………………………………….. 6 第四節國內相關文獻………………………………………………………… 11 第五節綜合評論………………………………………………………………11 第三章研究方法…………………………………………………………………… 13 第一節研究樣本……………………………………………………………… 13 第二節研究模型與變數……………………………………………………… 13 第三節研究方法說明………………………………………………………… 15 第四章實證結果…………………………………………………………………… 17 第一節敘述統計……………………………………………………………… 17 第二節相關係數矩陣與單根檢定…………………………………………… 22 第三節實證分析……………………………………………………………… 23 第五章結論與建議………………………………………………………………… 32 第一節結論…………………………………………………………………… 32 第二節建議…………………………………………………………………… 33 參考文獻……………………………………………………………………………… 34
dc.language.iso	zh-TW
dc.subject	違約價差	zh_TW
dc.subject	公債交易量	zh_TW
dc.subject	流動性	zh_TW
dc.subject	熱/冷門券	zh_TW
dc.subject	期間價差	zh_TW
dc.subject	價格波動度	zh_TW
dc.subject	市場報酬	zh_TW
dc.subject	公債交易量	zh_TW
dc.subject	流動性	zh_TW
dc.subject	熱/冷門券	zh_TW
dc.subject	期間價差	zh_TW
dc.subject	違約價差	zh_TW
dc.subject	價格波動度	zh_TW
dc.subject	市場報酬	zh_TW
dc.subject	liquidity	en
dc.subject	bond trading volume	en
dc.subject	on-the-run or off-the-run securities	en
dc.subject	market return	en
dc.subject	price volatility	en
dc.subject	default spreads	en
dc.subject	liquidity	en
dc.subject	on-the-run or off-the-run securities	en
dc.subject	term spreads	en
dc.subject	default spreads	en
dc.subject	term spreads	en
dc.subject	price volatility	en
dc.subject	market return	en
dc.subject	bond trading volume	en
dc.title	台灣公債市場交易量之影響因素探討	zh_TW
dc.title	The Influential Factors of Trading Volume in Taiwan Government Bond Market	en
dc.type	Thesis
dc.date.schoolyear	104-2
dc.description.degree	碩士
dc.contributor.oralexamcommittee	陳明賢,林岳祥
dc.subject.keyword	公債交易量,流動性,熱/冷門券,期間價差,違約價差,價格波動度,市場報酬,	zh_TW
dc.subject.keyword	bond trading volume,liquidity,on-the-run or off-the-run securities,term spreads,default spreads,price volatility,market return,	en
dc.relation.page	36
dc.identifier.doi	10.6342/NTU201600591
dc.rights.note	有償授權
dc.date.accepted	2016-06-30
dc.contributor.author-college	管理學院	zh_TW
dc.contributor.author-dept	財務金融學研究所	zh_TW
顯示於系所單位：	財務金融學系

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