臺灣博碩士論文加值系統

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。

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.

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

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