Research of Short-erm Interest Rate and Future market in Taiwan

• Main Authors: Wang, Ming-Yu, 汪明瑜
• Other Authors: Lee, Shyan-Yuan
• Format: Others
• Language: zh-TW
• Published: 2000
• Online Access: http://ndltd.ncl.edu.tw/handle/31237131666636528775

碩士 === 國立臺灣大學 === 財務金融學研究所 === 88 === Abstract： The aim of the essay is to discuss the necessary of developing bill future, use the concept of interest rate term structure on the basis of risk-free arbitrage, do the research of the theory price of bill future, use the hedge theory of future to design the examples to discuss the uses of bill future, analyze the possibility and result of using bill future to avoid the short term interest rate risk. The essay concludes : 1.For the firms that gain fund by bill-issuing or the investors who buy the bill for short term investment, bill future can avoid the uncertainty of the interest rate moving. 2.Arbitrage mechanism exists between the future and spot market. However, the market mechanism and the success of the future contract will be affected, if the direct trading cost (includes fees and trading tax) is too high. 3.For bill finance company that own a lot of fix income securities, bill future not only provides the demand of hedging, but the best opportunity of arbitrage between the future and spot market. 4.Bill finance company can take full-hedging strategy for one bill, but only can partial hedge by using the concept of portfolio for the position.