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研究生:李功地
研究生(外文):LI,KUNG-TI
論文名稱:以台灣10年期熱門券政府公債探討效率市場假說
論文名稱(外文):Measuring 10-year On-the-run Government Bond Efficient Market Hypothesis:An Empirical Study in Taiwan
指導教授:吳瑞山吳瑞山引用關係
指導教授(外文):WU,RAY-SAN
學位類別:碩士
校院名稱:國立臺北大學
系所名稱:國際財務金融碩士在職專班
學門:商業及管理學門
學類:財務金融學類
論文種類:學術論文
論文出版年:2008
畢業學年度:96
語文別:中文
論文頁數:63
中文關鍵詞:公債效率市場假說熱門券冷門券槓桿效果
外文關鍵詞:Government BondEfficient Market HypothesisOn-the-run SecuritiesOff-the-run SecuritiesLeverage Effect
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本研究以台灣10年期公債為研究對象,探討台灣10年期熱門券公債市場對於新訊息的傳遞是否能夠迅速地被市場參與者接收與吸納,並做出適當的反應及是否存在資訊不對稱現象。再者,討論台灣10年期熱門券公債市場為效率市場假說下的何種市場。
實證結果發現,新訊息對於市場的影響很大,新訊息加入的衝擊具有顯著的影響,台灣10年期熱門券公債市場接近半強式效率市場並存在槓桿效果。
In this paper, we study the 10-year government bond in Taiwan. We measure whether the transmission of new information can be received immediately by investors, response adequately, and exist asymmetric information or not. Furthermore, we examine the efficient market hypothesis of the 10-year on-the-run government bond in Taiwan.

Our empirical results indicate that, the new information has great influence on the market. The impact of newly added information has a significant positive influence. Taiwan 10-year on-the-run government bond market is close to semi-strong form efficient market and exists leverage effect.
目 錄
第一章 緒論
第一節 研究背景……………………………………………1
第二節 研究動機與目的……………………………………10
第三節 研究架構與流程……………………………………13
第二章 文獻回顧
第一節 公債交易之理論基礎及研究 ……………………14
第二節 公債的特性及功能 ………………………………21
第三節 效率市場假說………………………………………25
第三章 研究方法與資料
第一節 資料基本分析………………………………………32
第二節 研究方法……………………………………………33
第四章 實證結果與分析
第一節 單根檢定 …………………………………………49
第二節 模型診斷檢定 ……………………………………50
第三節 ARCH效應檢定 ……………………………………51
第四節 實證模型估計 ……………………………………53
第五章 結論與建議
第一節 結論…………………………………………………58
第二節 建議…………………………………………………59

表 目 錄
表1-1 店頭市場債券營業金額/成交金額統計表………………3
表1-2 中央公債之發行、償還及未償還餘額表 ………………4
表1-3 台灣債券市場近年之發展沿革 …………………………6
表1-4 台股期貨、電子期貨、金融期貨、小台指期貨、
台灣50期貨、10年期公債期貨成交口數表 ……………………8
表1-5「中華民國十年期政府債券期貨契約」規格……………9
表4-1 ADF檢定表………………………………………………48
表4-2 ARCH效應檢定表 ………………………………………51
表4-3 ARCH-LM檢定表 ………………………………………52
表4-4 GARCH模型之實證結果…………………………………53
表4-5 TGARCH模型之實證結果 ………………………………55
表4-6 PARCH模型之實證結果…………………………………56

圖 目 錄
圖1-1 研究流程圖………………………………………………13
圖2-1 中央公債持有對象分析表………………………………21
圖3-1 台灣10年期熱門券公債在樣本期間走勢圖……………32
圖3-2 台灣10年期熱門券公債報酬波動圖……………………33
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