Measure the Influencing Factors of Bond Yield and Liquidity：An Empirical Study in Taiwan
碩士 === 朝陽科技大學 === 財務金融系碩士班 === 95 === This research analyzes the influencing factors of bond yield and liquidity in Taiwan. At first, using single equation to discuss the determinants of bond yield and liquidity, and then we look over the feedback relation between bond yield and liquidity by simulta...
| Main Authors: | , |
|---|---|
| Other Authors: | |
| Format: | Others |
| Language: | zh-TW |
| Published: |
2007
|
| Online Access: | http://ndltd.ncl.edu.tw/handle/88578278360966074052 |
| Summary: | 碩士 === 朝陽科技大學 === 財務金融系碩士班 === 95 === This research analyzes the influencing factors of bond yield and liquidity in Taiwan. At first, using single equation to discuss the determinants of bond yield and liquidity, and then we look over the feedback relation between bond yield and liquidity by simultaneous equations.
The empirical result is as follows:
1. The determinants of bond yield：Bond liquidity and industrial production index is insignificant associated with the bond yield. Commercial paper rate is positively and significantly associated with the bond yield. Money Supply is negative and significantly associated with the bond yield.
2. The determinants of bond liquidity：Default spread is insignificant associated with the bond liquidity. Term spread is positively and significantly associated with the on-the-run securities liquidity and negative significantly associated with the off-the-run securities liquidity. Bond yield is negative and significantly associated with the bond liquidity. Off-the-run T-bonds fall more than on-the-run T-bonds as bond yield increasing.
3. The result of potential endogeneity bias has been revealed the relation between bond yield and liquidity.
|
|---|