| Summary: | 碩士 === 實踐大學 === 企業管理研究所 === 93 === For the last few years, the capital market investors have raised more and more concerns about investment risks because of the sluggish global economic growth and light trading volumes in Taiwan’s equity market. Most central banks have adopted lowering interest rate policy to induce economic growth and this policy has caused descending interest rates and ascending government bond prices. Most investors have paid more and more attentions on fixed-income products and the bond market has become another important investing market in capital markets.
After thorough planning of central-regulatory and fully participations of treasury dealers, the treasury market in Taiwan has developed complete infrastructure over the last few years. Most papers that tried to explain treasury market behaviors have focused on the theoretical foundations of treasury yield curves and risk sensitivities of interest rates. This thesis will use the concepts of price-volume relationship in investment theory to find out the interactive relations among treasury dealers.
The observation data were ranging from January 1997 to December 2004 and consisted of treasury yields and monthly buying and selling volumes by banking dealers, billing dealers and securities dealers. Based on the official launch date of Electronic Bond Trading System (EBTS) on July 2000, the research will consist of three different time periods: total trading period, period before launch of EBTS and period after launch of EBTS. The analysis will use time-series models to conduct data analysis, which includes ADF uni-root test, Granger causality test, vector auto regression model, impulse response function analysis and variance decomposition analysis. The empirical results show that the interactive relations between billing dealers and securities dealers are becoming more and more close. The investment strategies of securities dealers have dramatic changes after launch of EBTS and securities dealers have more and more influences on treasury markets.
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