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題 名 | Embedded Market Biases in the Bond Futures Delivery System=公債期貨交割制度隱含之市場性偏誤 |
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作 者 | 余尚武; | 書刊名 | 企業管理學報 |
卷 期 | 41 1997.10[民86.10] |
頁 次 | 頁59-91 |
分類號 | 564.5 |
關鍵詞 | 轉換因子; 值差調整制度; 最便宜交割; 準則債券; Conversion factor; Difference system; Cheapest-to-deliver; Benchmark; |
語 文 | 英文(English) |
中文摘要 | 公債期貨契約交易之標的資產為一虛擬之準則債券,一般在市場上並不存在。為 了避免市場人士操弄,形成可交割債券數量不足之現象,公債期貨契約皆容許契約賣方在到 期期間內,以合於既定條件之非準則債券予以交割,並使用轉換因子值差調整制度,以確保 可交割債券若干市場性偏誤,諸如:息票利率效果、殖利曲線型態、對可分離本息債券之偏 好及轉換因子本身之偏差等問題產生。這些偏誤會使得契約賣方傾向於交割具特定息票利率 及到期期間之非準則債券,而增加了期貨價格評價之複雜性。雖然,此一值差調整制度不甚 完美,惟由於其具有可預測、相對客觀及僅需有限資訊等特性,對於期貨市場功能之發揮, 仍具有相當正當之貢獻。 |
英文摘要 | The bond futures contract is peculiar for its hypothetical benchmark grade. In order to avoid market manipulation resulting from short squeezes, and enhance contract appeal, many contracts allow multiple delivery using a conversion factor invoicing system to ensure that each deliverable grade is equivalently attractive. With inappropriate assumptions implied in the conversion factor invoicing system, market biases due to the coupon effect, the shape of yield curve, and the preference for strippables, as well as the factor bias itself arise. These biases tend to arise for deliverable bonds with specific coupon rate or term to maturity characteristics and increase the complexity of the pricing of bond futures. However, despite the fact that the difference system is not perfect, it has, at least, the virtues of predictability, relative objectivity and limited information requirements, all of which contribute to the smooth functioning of futures markets. |
本系統中英文摘要資訊取自各篇刊載內容。