淡江大學機構典藏:Item 987654321/72526
English  |  正體中文  |  简体中文  |  Items with full text/Total items : 64185/96959 (66%)
Visitors : 11457233      Online Users : 17794
RC Version 7.0 © Powered By DSPACE, MIT. Enhanced by NTU Library & TKU Library IR team.
Scope Tips:
  • please add "double quotation mark" for query phrases to get precise results
  • please goto advance search for comprehansive author search
    •  Adv. Search
    Home ‧ Login ‧ Upload ‧ Help ‧ About ‧ Administer Goto mobile version


    Please use this identifier to cite or link to this item: https://tkuir.lib.tku.edu.tw/dspace/handle/987654321/72526


    Title: Liquidity-Adjusted Benchmark Yield Curve: A Look at Trading Concentration and Information
    Authors: 林蒼祥
    Contributors: 淡江大學財務金融學系
    Keywords: Liquidity;trading concentration;information discovery;term structure;yield curve;JEL Classification: D4;JEL Classification: D53;JEL Classification: D83;JEL Classification: E43;JEL Classification: G12
    Date: 2007-10
    Issue Date: 2011-10-24 10:32:00 (UTC+8)
    Abstract: Estimation of benchmark yield curve in developing markets is often influenced by liquidity concentration. Based on an affine term structure model, we develop a long run liquidity weighted fitting method to address the trading concentration phenomenon arising from horizon-induced clientele equilibrium as well as information discovery. Specifically, we employ arguments from models of liquidity concentration and benchmark security information. After examining time series behavior of price errors against our fitted model, we find results consistent with both the horizon and information hypotheses. Our evidence indicates that trading liquidity carries information effect in the long run, which cannot be fully captured in the short run. Trading liquidity plays a key role in long run term structure fitting. Markets for liquid benchmark government bond issues collectively form a long term equilibrium. Compared with previous studies, our results provide a robust and realistic characterization of the spot rate term structure and related price forecasting over time, which in turn help portfolio investment of fixed income and long run pricing of financial instruments.
    Relation: Review of Pacific Basin Financial Markets and Policies 10(4), pp.491
    DOI: 10.1142/S0219091507001173
    Appears in Collections:[Graduate Institute & Department of Banking and Finance] Journal Article

    Files in This Item:

    File Description SizeFormat
    index.html0KbHTML117View/Open
    iquidity-Adjusted Benchmark Yield Curve A Look at Trading Concentration and Information.pdf869KbAdobe PDF1View/Open

    All items in 機構典藏 are protected by copyright, with all rights reserved.

    DSpace Software Copyright © 2002-2004  MIT &  Hewlett-Packard  /   Enhanced by   NTU Library & TKU Library IR teams. Copyright ©   - Feedback