台灣公債市場流動性影響因素─成交量高峰前後期之探討

The Influential Factor of Taiwan Government Bond Market-Pre and Post Trading Volume Peak

曾秋萍(Chiu-Ping Tseng)

指導教授 ： 林允永

淡江大學/商學院/財務金融學系碩士在職專班/碩士(2009年)

https://doi.org/10.6846/TKU.2009.00591

摘要

本研究以台灣公債市場為研究對象，探討在公債成交量高峰前後影響公債市場流動性的主要因素。分別以交易量及期間價差作為衡量流動性的指標，並以股票交易量、公債發行量及隔夜再回買利率等變數捕捉流動性的變化，最後再利用不同時期的時間價差分別探討在成交量高峰前後各變數的影響變化。
實證結果發現，當公債市場成交量逐漸增加時，隔夜再買回利率與公債市場流動性呈現正向且顯著的關係，但當成交量日漸減少之際，二者之間卻不存在顯著關係，亦即隨著成交量的減少，隔夜再買回利率的變動對公債流動性的影響也逐漸減少。
而就公債年期來看，當公債市場成交量大時，亦即此市場處於多頭之際，較短年期之指標公債與整體公債市場流動性有較大的相關性，且一直到了空頭時期，也就是成交量減少時，這樣的相關性並沒有減弱的跡象。

關鍵字

公債 ； 流動性 ； 成交量 ； 期間價差

並列摘要

The approach of the thesis is a discussion on the factors of the liquidity during the pre and post trading volume peak in Taiwan Government Bond market. Using the trading volume and the term spread is an index to measure liquidity; performing the variables, such as the volume in stock market, bond issuance, and Overnight Repo Rate, works out the fluctuations in liquidity. Lastly, the variables of the pre and post volume peak would be debated by the term spread.
According to the result of this study, since the volume of the Taiwan Government Bond market gradually increases, it is a positive correlation between Overnight Repo Rate and the Taiwan Government Bond liquidity. On the other hand, since the one gradually reduces, it is less correlative. Hence the Overnight Repo Rate has less effect on the Taiwan Government Bond liquidity.
Point of view on the bond maturity, there is an obvious correlation between the shorter benchmark bonds and liquidity through a huge amount of the bullish market. Even though the volume decreases, it still remains a strong correlation.

並列關鍵字

Bond ； Liquidity ； trading volume ； term spread

參考文獻

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