| Summary: | 碩士 === 國立高雄第一科技大學 === 財務管理所 === 96 === The paper first uses the Nelson and Siegel (1987) model to fit the term structure of interest rates of Japanese Government bond market. The observation period is set from 2005 to 2007. The pricing errors refer to the deviations between the model prices and the observed market prices. Based on the pricing errors, we then calculate its mean and standard deviation. Meanwhile, the estimated tolerance interval of pricing errors is used to simulate the trading rules of Moving Average (MA) strategy proposed by Jankowitsch and Nettekoven (2005). The empirical results show that, without transaction costs, it can obtain better performance and is higher than the buy-and-hold strategy if we set a lower standard deviation multiplier. Meanwhile, we can also have hidger bond investment results when the the length of moving average window is set as 20 days. As the results of bond portfolio return, it will obtain a higher investment performance and the portfolio return is larger than the buy-and-hold strategy after adjusting their risks when we adopt a lower standard deviation multiplier. However, no matter how much is the standard deviation multiplier and moving average window we set, we still can’t obtain any excess return if the bid-ask spread is considered.
|
|---|
