| Summary: | 碩士 === 輔仁大學 === 金融研究所 === 93 === Abstract：
Recently, Taiwan government has made many systematic reforms of the domestic bond market. Reforms in issuing side include the establishment of the mechanism of increment issuing, of the e-transaction system of government bond, and of the system of primary dealers. Additionally, reforms in transaction side by Gretai Securities Market include the establishment of “Electric Bond Trading System”of government bond , the market of “Bond Futures”, the mechanism of “Bond Lending and Borrowing System”, and the transaction of “Bond Forwards”. The changes not only raise efficiency and transparency but also enhance liquidity and participation to keep pace with the international finance market.
We first review the history of the bond market. Then, we analyze the process of bond transaction and the risk premium and performance of the bond trading strategy by using the standard deviation and Sharpe value commonly used in the performance evaluation. In addition to studying the overall sample interval of all the yield of index government bond, we divide the transaction time intervals into three categories: boom, dull and recession and find the most appropriate strategy and optimal performance when putting risk into consideration.
Our results show that the strategy of “Self-Financing Trading” performs the best in all intervals especially significant in the interval of dull. However, the strategy of “Margin Trading” does not perform significantly better except in the interval of recession. Moreover, the strategy of “Buy and Hold” has the worst effects in all intervals and shows worse performance in the interval of all samples, of boom, and of dull.
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