Interest rate futures have been traded in TAIFEX (Taiwan Futures Exchange) since 2004, but its trading volume is relatively behind expected. However, based on the scale of cash market and the hedge demand for bond, interest rate futures should have potential to boom. According to the definition of Success or Failure of future contract and suggestion to Taiwan interest rate future, this project intends to analyze Bond Futue and Commerical paper future through six parts: ¡§the size of cash market¡¨, ¡§Trading volume and cash price¡¨, ¡§Concentration in cash market¡¨, ¡§cash and future price¡¨, ¡§Trading volume of interest rate future¡¨, ¡§Cross Hedge Market¡¨. Then searching the dependent variable is suitable for practical model.
This article is based on model of Black(1986), which trading volume as independent variable and hedge ratio, cash price, and size of cash market as dependent variable, and add ¡§Promtional policy to interest rate future¡¨, ¡§Trading volume of substitue contract¡¨, ¡§Concentraction ratio of large four traders¡¨ to be new dependent variable. The result reveals thar the key factor to influence trading volume is¡§Promtional policy to interest rate future¡¨, and trading volume of interest rate future will fall without promotion policy. The relation between trading volume and ¡§liquidity of cross hedge market¡¨ is significantly negative, hedgers prefer to use cross hedge than interest rate future. ¡§The size of cash market¡¨ and trading volume are significantly positive. The larger size of cash market is, the less price control power of traders will get.
| Identifer | oai:union.ndltd.org:NSYSU/oai:NSYSU:etd-0619108-165654 |
| Date | 19 June 2008 |
| Creators | Li, Ming-Shu |
| Contributors | Huang, Yu-chuan, Shyu, So-De, Huang,Jen-Jsung |
| Publisher | NSYSU |
| Source Sets | NSYSU Electronic Thesis and Dissertation Archive |
| Language | Cholon |
| Detected Language | English |
| Type | text |
| Format | application/pdf |
| Source | http://etd.lib.nsysu.edu.tw/ETD-db/ETD-search/view_etd?URN=etd-0619108-165654 |
| Rights | campus_withheld, Copyright information available at source archive |
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