債券存續期間及凸性與報酬間關係之實證研究-以臺灣公債為例

Abstract

近年來，隨著中央公債的大量發行，國內債券市場的交易規模也不斷的 擴大，債券市場已經漸漸成為另一個重要的投資管道。因此，本研究主要 想探討債券存續期間及凸性與債券投資報酬的關係，由於目前我國債券市 場交易標的主要對象是政府公債，所以本研究以政府公債為實證對象，以 複迴歸分析方式作實證，研究期間為1994年4月至1996年1月。 關於本研 究之實證結果，大致可歸納獲得以下幾點結論：一、非償債基金債券存續 期間及凸性對其投資報酬的影響，結果如同預期，存續期間與投資報酬呈 同向變動，凸性則對投資報酬有負的顯著影響，顯示：債券存續期間的確 是衡量利率風險的良好指標，存續期間愈大其利率風險愈高，投資報酬就 應愈大；國內債券價格之訂定已將凸性納入考慮。二、償債基金式債券雖 然檢定結果不如預期：債券存續期間與投資報酬呈同向變動；凸性與投資 報酬則呈反向變動。但經詳細分析，發現我國償債基金式債券實證結果之 所以不如預期，導因於債券流動性不佳。 Recently,because of the issuing amount of government bond get more and more,the trading amount of bond market enlarge. Bond market becomes another channel of investment.Thus,this article tests empirically the relationship between bond duration, convexity and ex ante bond return.Owing to government bond is the major subject in Taiwan bond market,this article uses cross- sectional time serious regression to estimate the ex ante excess bond return from April,1994 to Janurary,1996. The results of empirical tests can get some conclusion below:First,about no sinking fund bond,the relationship between duration and return is positive,however ,convexity and return is negative.The result suggests that the adequacy of duration as a risk measure for government bond.High duration is associated with positive excess return.However,high positive-convexity is not associated with positive excess return.This provide some evidence that convexity is priced.Second,about sinking fund bond:No matter the relationship between return and duration or convexity is not statistically significant.This result doesn't consistent with the theoretical criticisms.It is due to the liquidity of sinking fund bond is not as good as no sinking fund bond.