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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31542

    Title: 臺灣公債市場流動性影響因素 : 成交量高峰前後期之探討
    Other Titles: The influential factor of Taiwan government bond market : pre and post trading volume peak
    台灣公債市場流動性影響因素 : 成交量高峰前後期之探討
    Authors: 曾秋萍;Tseng, Chiu-ping
    Contributors: 淡江大學財務金融學系碩士在職專班
    林允永;Lin, Yun-yung
    Keywords: 公債;流動性;成交量;期間價差;Bond;Liquidity;Trading Volume;term spread
    Date: 2009
    Issue Date: 2010-01-11 00:52:58 (UTC+8)
    Abstract: 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。
    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.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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