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| DC 欄位 | 值 | 語言 |
|---|---|---|
| dc.contributor.advisor | 李賢源(Shyan-Yuan Lee) | |
| dc.contributor.author | Pin-Hsien Yu | en |
| dc.contributor.author | 余品嫻 | zh_TW |
| dc.date.accessioned | 2021-06-16T08:20:25Z | - |
| dc.date.available | 2025-07-01 | |
| dc.date.copyright | 2020-07-17 | |
| dc.date.issued | 2020 | |
| dc.date.submitted | 2020-07-12 | |
| dc.identifier.citation | Agapova, A., 2011. Conventional mutual index funds versus exchange-traded funds. Journal of Financial Markets 14, 323–343. Bao, J., Pan, J., Wang, J., 2011. The illiquidity of corporate bonds. Journal of Finance 66, 911–946. Ben-David, I., Franzoni, F.A., Moussawi, R., 2018. Do ETFs increase volatility?. Journal of Finance 73, 2471-2535. Bessembinder, H., Maxwell, W., Venkataraman, K., 2006. Market transparency, liquidity externalities, and institutional trading costs in corporate bonds. Journal of Financial Economics 82, 251–288. Cao, H.H., 1999. The effect of derivative assets on information acquisition and price behavior in a rational expectations equilibrium. Review of Financial Studies 12, 131–163. Chiu, J., Chung, H., Ho, K., Wang, H.K., 2012. Funding liquidity and equity liquidity in the subprime crisis period: Evidence from the ETF market. Journal of Banking Finance 36, 2660-2671. Dannhauser, C.D., 2017. The impact of innovation: Evidence from corporate bond exchange-traded funds (ETFs). Journal of Financial Economics 125, 537-560. Dick-Nielsen, J., 2009. Liquidity biases in TRACE. Journal of Fixed Income 19, 43–55. Dick-Nielsen, J., Feldhütter, P., Lando, D., 2012. Corporate bond liquidity before and after the onset of the subprime crisis. Journal of Financial Economics 103, 471–492. Dow, J., 1998. Arbitrage, hedging, and financial innovation. Review of Financial Studies 11, 739–755. Fremault, A., 1991. Stock index futures and index arbitrage in a rational expectations model. Journal of Business 64, 523–547. Fulkerson, J.A., Jordan, S.D., Travis, D.H., 2017. Bond ETF arbitrage strategies and daily cash flow. Journal of Fixed Income 27, 49-65. Glosten, L., Nallareddy, S., Zou, Y., 2020. ETF activity and informational efficiency of underlying securities. Management Science, Published online. Gorton, G.B., Pennacchi, G.G., 1993. Security baskets and index-linked securities. Journal of Business 66, 1–27. Hilliard, J., 2014. Premiums and discounts in ETFs: an analysis of the arbitrage mechanism in domestic and international funds. Global Finance Journal 25, 90-107. Israeli, D., Lee, C.M., Sridharan, S., 2017. Is there a dark side to exchange-traded funds (ETFs)? An information perspective. Review of Accounting Studies 22, 1048-1083. Krause, T., Ehsani, S., Lien, D., 2014. Exchange-traded funds, liquidity and volatility. Applied Financial Economics 24, 1617–1630. Kumar, P., Seppi, D.J., 1994. Information and index arbitrage. Journal of Business 67, 481–509. Kyle, A.S., 1985. Continuous auctions and insider trading. Econometrica 53, 1315–1336. Longstaff, F.A., 2004. The flight-to-liquidity premium in US Treasury bond prices. Journal of Business 77, 511–526. Massa, M., 2002. Financial innovation and information: the role of derivatives when a market for information exists. Review of Financial Studies 15, 927–957. Marshall, B.R., Nguyen, N.H., Visaltanachoti, N., 2013. ETF arbitrage: intraday evidence. Journal of Banking Finance 37, 3486-3498. Pan, K., Zeng, Y., 2019. ETF arbitrage under liquidity mismatch. Unpublished working paper. Ye, S., 2019. How do ETFs affect the liquidity of the underlying corporate bonds?. Unpublished working paper. | |
| dc.identifier.uri | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/58572 | - |
| dc.description.abstract | 本篇論文透過不同的模型驗證了利率與VIX對提升公司債ETF的流動性有顯著的正面影響；當利率上升時，無論是公司債ETF的週轉率還是買賣價差都有顯著地改善，而其中又以短天期債券利率走勢對公司債ETF流動性的影響最為強烈；當VIX上升時，公司債ETF的流動性顯著提升，而其中當VIX高於中位數時，VIX變化對公司債ETF流動性的影響較為強烈；兩項因素影響公司債ETF流動性的效果較適用於投資級債券佔比較高的公司債ETF，利率與VIX上升對投資級債券佔比較低公司債ETF的流動性影響較不顯著。 | zh_TW |
| dc.description.abstract | This study demonstrates through different models that interest rates and VIX have a significant positive effect on the liquidity of corporate bond ETFs. Corporate bond ETF turnover rate and bid-ask spread are improved as interest rates rise, and short- term interest rates have a greater impact on the liquidity of corporate bond ETFs than long-terms interest rates. The liquidity of corporate bond ETFs increases with an increase in VIX, and the impact of VIX on corporate bond ETF liquidity is more pronounced in the group which VIX is above the median. The effect of interest rates and VIX on the liquidity of corporate bond ETFs is more applicable to those ETFs with a higher proportion of investment-grade bonds. In other words, interest rates and VIX have no significant effect on the liquidity of the corporate bond ETFs with a lower proportion of investment-grade bonds. | en |
| dc.description.provenance | Made available in DSpace on 2021-06-16T08:20:25Z (GMT). No. of bitstreams: 1 U0001-1207202020285100.pdf: 1303509 bytes, checksum: ecebf15d13f37e614c2b2794d27dc9d1 (MD5) Previous issue date: 2020 | en |
| dc.description.tableofcontents | 口試委員會審定書……………………………………………………………… 1 序言……………………………………………………………………………… 2 中文摘要………………………………………………………………………… 3 英文摘要………………………………………………………………………… 4 第一章 緒論……………………………………………………………………… 7 第二章 資料描述……………………………………………………………… 11 第三章 模型介紹與實證結果………………………………………………… 14 3.1 升息與波動度交互影響模型………………………………………… 14 3.2 利率模型……………………………………………………………… 26 3.3 VIX股市波動度模型………………………………………………… 35 3.4投資級債券持有比例模型…………………………………………… 44 第四章 穩固性測試…………………………………………………………… 55 第五章 額外討論……………………………………………………………… 59 第六章 結論…………………………………………………………………… 62 附錄一 本文研究的公司債ETF列表………………………………………… 64 參考文獻………………………………………………………………………… 67 | |
| dc.language.iso | zh-TW | |
| dc.subject | 公司債ETF | zh_TW |
| dc.subject | 流動性 | zh_TW |
| dc.subject | 恐慌指數 | zh_TW |
| dc.subject | 波動度 | zh_TW |
| dc.subject | 投資級債券 | zh_TW |
| dc.subject | Corporate bond ETF | en |
| dc.subject | Liquidity | en |
| dc.subject | VIX | en |
| dc.subject | Volatility | en |
| dc.subject | Investment-grade bond | en |
| dc.title | 影響公司債ETF流動性的因素 — 利率與VIX | zh_TW |
| dc.title | Two factors which can increase corporate bond ETF liquidity — Interest rate and VIX
| en |
| dc.type | Thesis | |
| dc.date.schoolyear | 108-2 | |
| dc.description.degree | 碩士 | |
| dc.contributor.coadvisor | 何耕宇(Keng-Yu Ho) | |
| dc.contributor.oralexamcommittee | 鍾懿芳(Yi-Fang Chung),蔡偉澎(Wei-Pen Tsai) | |
| dc.subject.keyword | 公司債ETF,流動性,恐慌指數,波動度,投資級債券, | zh_TW |
| dc.subject.keyword | Corporate bond ETF,Liquidity,VIX,Volatility,Investment-grade bond, | en |
| dc.relation.page | 69 | |
| dc.identifier.doi | 10.6342/NTU202001455 | |
| dc.rights.note | 有償授權 | |
| dc.date.accepted | 2020-07-13 | |
| 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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