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    Please use this identifier to cite or link to this item: http://tkuir.lib.tku.edu.tw:8080/dspace/handle/987654321/31651

    Title: 應用殖利率曲線配適模型建構債券之交易策略-臺灣公債市場之實證研究
    Other Titles: Applying yield curve fitting models to construct trading strategies of bonds : empirical study in Taiwan government bond market
    Authors: 陳韻如;Chen, Yun-ju
    Contributors: 淡江大學財務金融學系碩士班
    林蒼祥;Lin, William T.
    Keywords: 利率期間結構;交易策略;流動性;Term Struture of Interest Rates;Trading Strategies;Liquidity
    Date: 2007
    Issue Date: 2010-01-11 01:05:55 (UTC+8)
    Abstract: 基本上,利率期間結構為各種定價模型之重要輸入變數,且多被校準於附息債券價格,因此所估計出來的利率應該可以正確地解釋債券之市場價格。然而,多數關於殖利率估計的實證研究,如Svensson(1994)指出其實證結果具有顯著的價格誤差。至於是什麼因素引起這些債券之價格誤差便是一個重要的問題,可能是因為債券流動性差異或是稅負處理的不同,但Elton and Green (1998)認為流動性與稅負並無法完全解釋所觀察到的債券價格誤差。因此這些誤差產生可能是因為模型錯誤設定引起,或是因為市場狀況所導致某些債券價格的錯誤定價。
    The term structure of interest rates is an important input for basically every pricing model and is mostly calibrated on coupon bond prices. Therefore the estimated interest rates should accurately explain the market prices of these bonds. However nearly all empirical papers on interest rate estimation, e.g. Svensson(1994), report significant pricing errors in their sample. So an important question is what drives these pricing errors of the bonds. One simple explanation would be different tax treatment or different liquidity but most papers on this research topic, e.g. Elton and Green(1998), cannot fully explain the observed pricing errors. Therefore these errors must be at least partially caused by either model misspecification or by the mispricing of particular bond prices from general market conditions.
    We employ Nelson-Siegel-Svensson model by Svensson(1994) and liquidity weighted method by Subramanian(2001) to estimate the term structure of interest rates for the Taiwan government bond market for the time period January 2003 to December 2006. We present the resulting pricing errors and the trading strategies based on these pricing errors. The trading signals are received by using the moving average method and by calibrating time series models to the pricing errors which allows us to trade against observed mispricing. Empirical results can yield abnormal return compared to buy-and-hold strategies. Pricing errors seem to contain some economic information and are not exclusively caused by model misspecification or differences in liquidity of individual bonds.
    Appears in Collections:[財務金融學系暨研究所] 學位論文

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