| Summary: | 碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 92 === The main purpose of this paper is to examine the impact of EBTS(electronic bond trading system) which was implemented as the trading plate-form in July 2002 by Great Tai on bond market. We use the empirical test ( Z test, K-W test, Levene test ) to see whether there is any structural change on Taiwan bond market. Empirical results show as follows:
1.Research in the return shows that there is no great change happened between the before and after-periods of Taiwan bond market. The EBTS didn’t increase or decrease the market return significantly.
2.Research in the volatility concluded that the variance of return shows no significant change, which means the long-term market risk is stable, and the daily fluctuation ( High to Low ) was greater in the after-period, which provide the day-traders more opportunity to make transaction.
3.Research in the liquidity presented that the turn-over ratio increased significantly in the after-period, and liquidity-premium went down ,seems to indicate the liquidity has the phenomenon of spillover to the over-all bond market.
4.Applying the VaR to calculate the market risk, we find out that the one-day VaR decreased in the after-period.
To a conclusion, the results above shows that the market return and long-term risk didn’t have great change, but the liquidity gets improved and the one-day VaR decreased in the after-period. The evidences supported that the EBTS makes the positive effect on Taiwan bond market.
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