The Influential Factor of Taiwan Government Bond Market-Pre and Post Trading Volume Peak

• Main Authors: Chiu-Ping Tseng, 曾秋萍
• Other Authors: 林允永
• Format: Others
• Language: zh-TW
• Published: 2009
• Online Access: http://ndltd.ncl.edu.tw/handle/41936635068446948574

碩士 === 淡江大學 === 財務金融學系碩士在職專班 === 97 === The approach of the thesis is a discussion on the factors of the liquidity during the pre and post trading volume peak in Taiwan Government Bond market. Using the trading volume and the term spread is an index to measure liquidity; performing the variables, such as the volume in stock market, bond issuance, and Overnight Repo Rate, works out the fluctuations in liquidity. Lastly, the variables of the pre and post volume peak would be debated by the term spread. According to the result of this study, since the volume of the Taiwan Government Bond market gradually increases, it is a positive correlation between Overnight Repo Rate and the Taiwan Government Bond liquidity. On the other hand, since the one gradually reduces, it is less correlative. Hence the Overnight Repo Rate has less effect on the Taiwan Government Bond liquidity. Point of view on the bond maturity, there is an obvious correlation between the shorter benchmark bonds and liquidity through a huge amount of the bullish market. Even though the volume decreases, it still remains a strong correlation.