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系統識別號 U0002-2705200700053100
中文論文名稱 應用殖利率曲線配適模型建構債券之交易策略-台灣公債市場之實證研究
英文論文名稱 Applying Yield Curve Fitting Models to Construct Trading Strategies of Bonds---Empirical Study in Taiwan Government Bond Market
校院名稱 淡江大學
系所名稱(中) 財務金融學系碩士班
系所名稱(英) Department of Banking and Finance
學年度 95
學期 2
出版年 96
研究生中文姓名 陳韻如
研究生英文姓名 Yun-Ju Chen
學號 694490474
學位類別 碩士
語文別 中文
口試日期 2007-05-24
論文頁數 70頁
口試委員 指導教授-林蒼祥
共同指導教授-蔡蒔銓
委員-郭憲章
委員-古永嘉
委員-段昌文
中文關鍵字 利率期間結構  交易策略  流動性 
英文關鍵字 Term Struture of Interest Rates  Trading Strategies  Liquidity 
學科別分類 學科別社會科學商學
中文摘要 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。
本研究採用Svensson(1994)所延伸之Nelson-Siegel-Svensson模型並加入Subramanian(2001)提出的流動性加權方法,來估計2003年1月到2006年12月台灣公債市場之利率期間結構,接著可計算出價格誤差並以價格誤差為基礎的交易策略,利用移動平均法及時間序列模型以獲取異常報酬,並與買進持有法比較之。結果顯示價格誤差不完全來自於個別債券流動性,或是模型的錯誤設定,似乎含有某些經濟意涵,進而可從事當交易策略獲利。
英文摘要 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.
論文目次 目錄
第一章 緒論 1
第一節 研究動機與背景 1
第二節 研究目的 4
第三節 研究架構與流程 5
第二章 文獻探討 7
第一節 一般均衡模型與無套利模型 7
第二節 曲線配適法 10
第三節 流動性考量 20
第四節 交易策略相關文獻 23
第三章 研究方法 26
第一節 流動性加權目標函數設計 26
第二節 Nelson-Siegel-Svensson模型 29
第三節 交易策略之模型建構 33
第四章 實證結果與分析 38
第一節 資料來源與處理 38
第二節 利率期間結構實證模型 41
第三節 交易策略實證結果 46
第五章 結論與建議 61
第一節 結論 61
第二節 研究建議 62
參考文獻 63

表 目 錄
【表4-1】各債券平均權重之分配 40
【表4-2】未考量流動性因素之利率期間結構配適結果分析 44
【表4-3】考量流動性因素之利率期間結構配適結果分析 45
【表4-4】未考量流動性之移動平均交易策略績效 50
【表4-5】考量流動性之移動平均交易策略績效 51
【表4-6】移動平均交易策略比較 52
【表4-7】移動平均交易策略統計檢定 53
【表4-8】未考量流動性之移動平均交易策略經夏普指數風險調整之績效 55
【表4-9】考量流動性之移動平均交易策略經夏普指數風險調整之績效 56
【表4-10】經夏普指數風險調整之移動平均交易策略比較 57
【表4-11】有無考量流動性之時間序列交易策略績效 58
【表4-12】有無考量流動性之時間序列交易策略經夏普指數風險調整之績效 60

圖 目 錄
【圖1-1】研究樣本內其中一天之不同券種交易金額比例 2
【圖1-2】研究流程圖 6
【圖3-1】冷熱門券之價格誤差 27
【圖3-2】雙曲線正切函數 28
【圖4-1】未考量流動性因素之利率期間結構 42
【圖4-2】考量流動性因素之利率期間結構 42
【圖4-3】樣本資料配適最常見之殖利率曲線形狀 43
【圖4-4】十年期公債殖利率趨勢圖 46
【圖4-5】A92104五日移動平均1.5倍標準差之交易訊號 47
參考文獻 一、中文部分
1. 王窈梅,2004,「配適利率期限結構之台灣實證研究」,淡江大學財務金融學研究所碩士論文。
2. 周建新、于鴻福、張千雲,2003,「利率期限結構估計模型之實證研究」,管理學報,第二十卷第四期,775-804。
3. 周建新、于鴻福、鍾韻琳,2004,「台灣公債市場之利率期限結構估計:Nelson and Siegel 家族之比較」,財金論文叢刊,第一期,25-50。
4. 周建新、陳振宇,2005,「平滑度、精確度與利率期間結構估計」,台灣財務工程學會研討會。
5. 林嘉生,1998,「台灣公債市場殖利率曲線之估計」,國立台灣大學財務金融學研究所碩士論文。
6. 林蒼祥、蔡蒔銓、謝富堯,2006,「考慮流動性之殖利率曲線近似求解法」,臺灣銀行季刊,,第五十七卷第二期,162-174。
7. 謝承熹,2000,「以分段三次方指數函數配適台灣公債市場之利率期限結構:線性最適化及非線性最適化之比較」,中國財務學刊,第八卷第二期,25-47。
8. 謝富堯,2005,「考慮流動性之公債殖利率曲線」,輔仁大學金融研究所在職專班碩士論文。
9. 詹場、胡星陽,2001,「流動性衡量方法之綜合評論」,國家科學委員會研究彙刊:人文及社會科學,第十一卷第三期,205-221。
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