本研究旨在檢視債券市場有無從眾行為產生的現象，並進一步探討其可能產生從眾現象的原因。首先，嘗試將財務工程，在滿足平睹過程下所計算出來債券應有的真實價格，並利用Keynes選美競爭的概念作結合。一般的債券市場存在著兩種交易者，一為同時擁有私人訊息和公開市場資訊的交易者，另一為只具有公開市場資訊的交易者，在資訊不對稱的條件下，兩種交易者的交易策略皆是利用有條件下的理性預期去估算債券的市場價格，然而發現到債券的市場價格會受到本身的真實價格、公開市場資訊和債券的供給衝擊等因素所影響。
最後，由研究模型發現，會不會導致債券市場存在從眾行為的最主要因素，就是債券交易者所擁有的利率行為方程式，藉由利率方程式選取的外生變數，比較會影響債券市場價格因素的權重大小，加以判斷會產生從眾行為的條件。 / The objective of this study is to examine the bond market, the phenomenon of herd behavior, and to further explore the possible reasons for the phenomenon of conformity. First, try to combine competitive advantage of Keynes’s concept of beauty contests and the real bond price which satisfies martingale process Bond market in general there are two kinds of traders, one has both public information and private information, the other has only public information. Under conditions of asymmetric information, two kinds of traders’ trading strategies are the use of rational expectations under conditions to estimate the bond’s market price. However, we can find that there are some factors which affect the bond’s market price. Like bond’s true value, public information and supply shock.
Finally, the model is found by the study will not lead to herd behavior bond market the most important factor is the interest rate behavior equation owned by traders. We select the exogenous variables which to compare their weight in order to determine the conditions of herd behavior.
| Identifer | oai:union.ndltd.org:CHENGCHI/G0097351008 |
| Creators | 蔡宗穎 |
| Publisher | 國立政治大學 |
| Source Sets | National Chengchi University Libraries |
| Language | 中文 |
| Detected Language | English |
| Type | text |
| Rights | Copyright © nccu library on behalf of the copyright holders |
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