臺灣博碩士論文加值系統

這項研究本質上是調查五個國家政府（美國，加拿大，法國，德國和中國香港）債券市場的投資。本研究目的是通過使用每日歷史價格來分析這五個國家政府投資的債券。分析了兩種交易方法：交易方法1和交
易方法2。數據從2011年11月至2019年10月。採用移動平均技術確認買入和賣出訊號並基於政府歷史債券價格計算收益。統計方法透過T檢定來檢查交易模型是否具有可觀的正利潤。結果表明，交易方法2不僅比交易方法1更佳，而且總能帶來正收益。當移動平均的長度變得狹長時，交易策略將生效。

The essence of this study is to investigate the investment of the Government Bond market of 5 countries: The United States, Canada, France, Germany, and Hong Kong (China). The objective of this research is to analyze the investment of Government Bond in these five countries by using historical daily prices. There are two trading methods analyzed: trading method 1 and trading method 2. The data is covered from November 2011 to October 2019. The moving average technique is applied to determine the buying and selling signals and calculate the return based on the historical government bond price. The statistical method is used to check whether the transaction model has a significant positive profit with Student's T-test.
The result shows that trading method 2 is not only more optimal than trading
method 1 but also always gives positive returns. Trading strategies become
effective when the length of the moving average is narrow.

Abstract ...........................................................................................................................................................i
摘要................................................................................................................................................................ii
Acknowledgement.........................................................................................................................................iii
Table of Contents ..........................................................................................................................................iv
List of Tables.................................................................................................................................................vi
List of Figures..............................................................................................................................................vii
Chapter 1 Introduction ...................................................................................................................................1
1.1 Overview of the bond market...............................................................................................................1
1.2 The growing importance of the bond market .......................................................................................7
1.3 Research Methods................................................................................................................................9
1.4 The Objective of the Study.................................................................................................................10
Chapter 2 Literature Review ........................................................................................................................12
2.1 Bond ...................................................................................................................................................12
2.1.1 General of Bond Market..............................................................................................................12
2.1.2 Bond Yield Spreads.....................................................................................................................13
2.1.3 Junk Bond....................................................................................................................................14
2.1.4 Corporate Bond ...........................................................................................................................14
2.2 Bond with Bank, Stock, and Exchange Rate......................................................................................15
2.3 Technical Analysis..............................................................................................................................17
Chapter 3 Data and Methodology ................................................................................................................20
3.1 Data source.........................................................................................................................................20
3.2.1 Buying and selling strategy .........................................................................................................26
3.2.2 Buying and selling methods........................................................................................................27
3.3 Student’s T-test...................................................................................................................................29
Chapter 4 Empirical Result and Discussion.................................................................................................34
4.1 Moving Average .................................................................................................................................34
v
4.2 Trading results....................................................................................................................................43
4.3 Student’s T-Test..................................................................................................................................51
Chapter 5 Conclusion...................................................................................................................................55
5.1 Conclusion and Discussion ................................................................................................................55
5.2 Limitation of the study .......................................................................................................................56
5.3 Suggestion for Further Studies...........................................................................................................57
References....................................................................................................................................................59
Appendix I Trading result of The U.S Government Bond ...........................................................................63
Appendix II Trading result of Canada Government Bond ...........................................................................68
Appendix III Trading result of France Government Bond...........................................................................73
Appendix IV Trading result of Germany Government Bond.......................................................................78
Appendix V Trading result of Hong Kong Government Bond ....................................................................82
Appendix VI Download Data.......................................................................................................................87
Appendix VII Coding...................................................................................................................................89
Appendix VIII Extended Abstract .................................................................................................................95

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Appendix I Trading result of The U.S Government