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| Title: | 台灣公債期貨市場之研究 |
| Authors: | 蔡佳晉
Tsai, Norman |
| Contributors: | 沈中華
Shen, Chung-Hua
蔡佳晉
Tsai, Norman |
| Keywords: | 台灣公債期貨
最便宜可交割債券
轉換因子
轉換價格
持有成本理論
隱含回購率
交割選擇權
債券評價公式
實物交割
現金交割
Bond futures
Cost of Carry
Cheapest to Deliver(CTD)
Basis
Conversion Factor
Implied Repo Rate
Physical Delivery
Cash settlement |
| Date: | 2004 |
| Issue Date: | 2009-09-18 14:45:57 (UTC+8) |
| Abstract: | 我國公債期貨市場發展至今，市場流動性未能有效提振，本文將針對此問題嘗試從市場結構、實務狀況、相關學理等各方面，探討諸多可能的影響因素，並加以分析研究，找出問題的癥結以提供解決之道。此外，本文亦從問券調查的結果中，歸納出市場參予者對現行公債期貨的看法，希冀能作為台灣期貨交易所未來商品規劃之參考。
Since the Taiwan government bond futures trade, the market is lack of liquidity during the year. For the problem, this paper considers the layers of market structure, trading convention and relative theories, try to analysis the causes of less liquidity and resolve the liquidity problem. On the other hand, by making the survey this paper sums up the opinions from the participants of the bond futures market. This paper, which could help the Taiwan Futures Exchange in designing other interest rate derivatives, will wish to give some useful reference. |
| Reference: | 中文文獻
王慎、黃信昌與簡忠陵，「債券市場理論與實務」，民國92年
周建新，「公債期貨交割、評價與避險之研究」，國立台灣工業技術學院/管理技術研究所/85/博士論文
金融人員訓練研究中心，「美國公債期貨市場」，民國82年12月
陳松男，「選擇權與期貨：衍生性商品修訂本」，民國85年5月
陳松男，「現代投資學」，民國86年7月
陳春山，如何吸引外資投入國內債券市場（上），證券櫃檯月刊，民國93年7月
黃仁宏，如何吸引外資投入國內債券市場（下），證券櫃檯月刊，民國93年8月
鄭先利，國際衍生性商品市場結構與趨勢分析，「臺灣期貨市場」雙月刊第六卷第三期
謝劍平，「固定收益證券：投資與創新」，民國88年2月
西文文獻
Books
Alexander, Carol, Market Models: A Guide to Financial Data Analysis. 2001.
Burghardt, Galen D. and Terrence M. Belton, The Treasury Bond Basis: An In Depth Analysis for Hedgers, Speculators and Arbitrageurs. 1994
Don M. Chance, An Introduction to Derivatives, 4/e, 2000.
Fabozzi, F. J., Fixed Income Mathematics, 1988.
Hull, John C., Options, Futures, and Other Derivatives, 5/e,2003.
Suresh Sundaresan, Fixed Income Markets and Their Derivatives, 2/e, 2001.
Tuckman, Bruce, Fixed Income Securities: Tools for Today`s Markets, Second Edition, 2002.
Wong, M. Anthony, Fixed-Income Arbitrage: analytical techniques and strategies, John Wiely & Sons, 1993.
Paper
Chan, Leo and Donald Lien, “Cash settlement and price discovery in futures markets”, Quarterly Journal of Business and Economics; Summer 2001; 40, 3/4.
Cecchetti, Stephen G, Robert E Cumby & Stephen Figlewski, “Estimation of the Optimal Futures Hedge,” Review of Economics & Statistics; 4 (November), 70 (1988), 623-30.
Cohen, Hugh I., “The wild card option in T-bond futures is relatively worthless,” Federal Reserve Bank of Atlanta in its series Working Paper with number 91-13.
Durenard, Eugene & David Veredas, “Macro Surprises And Short-Term Behaviour In Bond Futures,” CIRANO Working Papers with number 2002s-03.
Garbade, Kenneth D and William L Silber, “Cash Settlement of Futures Contracts: An Economic Analysis”, The Journal of Futures Markets, Winter 1983; 3, 4.
Lien, Da-Hsiang Donald, “Cash Settlement Provisions on Futures Contracts,” The Journal of Futures Markets (1986-1998); Jun 1989; 9, 3.
Li Li & Robert F. Engle, “Macroeconomic Announcements and Volatility of Treasury Futures,” University of California at San Diego, Economics Working Paper Series with number 98-27. Nov 1998.
Resnick, B. G., “The Relationship between Futures and Cash Prices for U.S. Treasury Bonds,”Review of Research in futures Markets, 2 (1983), 282-99.
Technical document
Interest Rate Derivatives - Fixed Income Trading Strategies, Eurex, Feb, 2004. |
| Description: | 碩士
國立政治大學
經營管理碩士學程(EMBA)
90932203
93 |
| Source URI: | http://thesis.lib.nccu.edu.tw/record/#G0090932203 |
| Data Type: | thesis |
| Appears in Collections: | [經營管理碩士學程EMBA] 學位論文
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