臺灣債券價差交易之分析研究

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Title:	臺灣債券價差交易之分析研究
Other Titles:	The analysis on the trading of on/off the run Taiwan government bond 台灣債券價差交易之分析研究
Authors:	張丞佑;Chang, Cheng-yu
Contributors:	淡江大學財務金融學系碩士在職專班聶建中;Neih, Chien-chung
Keywords:	利差套利;中央政府公債;熱門指標債;流動貼水;Interest rate differential arbitrage;Taiwan Government bond;on the run bond;Liquidity premium
Date:	2009
Issue Date:	2010-01-11 00:44:42 (UTC+8)
Abstract:	本論文主要目的在探討同樣為當年度發行之同年期十年中央政府公債，且以10年期中央政府公債為主之標的，期間是否在市場交易員過度集中交易熱門券與當年期另一期十年券之價差關係變化，利用民國91年04月01日起至97年03月19日止，共取得3652筆資料分析。　　本文主要選擇放空十年期公債熱門券買進十年期公債冷門券的策略來進行比對，分析市場在這組合中是否有產生套利之可能性。本研究之結論如下：一．進行14組組合分析，市場除了熱門指標債外，其它中央政府公債籌碼則會流向穩定性高的夀險業手中，當熱門指標10年債流通半年後，則會有新的一期10年債發行，屆時即會出現棄權賣壓，其原因仍在短線交易充斥問題，而該期債券殖利率則會與前期10年債券由先前的買賣成本流動貼水，殖利率價差出現收斂之效果。二．從實務上熱門券與冷門券利差需高於15基本點，才能滿足該策略進場套利需求，低於3個基本點則套利機會較低。三．從這7年以來，共14組組合中，該策略最終仍在分析中得到符合預期之獲利。 The purpose of this dissertation is to discuss central government bonds with maturity of 10 years that were issued. Using ten year government bonds as the main subject, the focus of the study will be the relationship and price differential between the on the run and off the run ten year bonds. 3652 data samples were collected between April 1 of 2001 and March 19 of 2008. This dissertation will be comparing the strategies of short selling on-the-run bonds and going long on off-the-run bonds. Analysis on market irrationality might provide arbitrage opportunities. Conclusion: 1.After analyzing a total of 14 combinations, generally central government bond holdings tend to flow towards stable insurance firms, with the exception of on-the-run benchmark 10 year bonds. For the benchmark 10 year bonds, after 6 months of being on the market, there will be newer on-the-run bonds being issued. Due to prolific short term trading on swapping out current bonds for the newly issued, current on-the-run bonds experience selling pressure. With this selling pressure, the yield of the current issue will rise to the level of the previous older issue, narrowing the gap. 2.On the run bonds and off the run bonds yield differential must be more than 15 basis points in order to justify arbitrage opportunity, any less than 3 basis points would negate any reasons of engaging in the arbitrage. 3.Over the past 7 years with the 14 combinations, this strategy has reached profit goals after back testing.
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Thesis

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