台灣利率期貨商品在2004年上市後，但是推出後四年以來，交易量表現不如預期。但依據目前現貨規模與投資人避險需求，期貨仍有發展潛力。本文針對過去學者對於期貨商品成敗的定義，與國內學者對期貨商品現狀提出建議，以「現貨市場規模」、「現貨價格與交易量」、與「現貨市場交易者組成」，以及「現貨與期貨價格」、「期貨交易量」、與「交叉避險市場等層面」，來分析公債期貨與商業本票期貨的發展現狀，以及尋找合適的解釋變數。

本研究以Black(1986)模型，將交易量為被解釋變數，加入避險比率、現貨價格與市場規模的線性迴歸模型為基礎，新增「交易所獎勵政策」、「替代性商品交易量」、「前四大廠商集中度」等變數。實證結果為公債期貨與商業本票交易量受到獎勵政策最大影響，當缺乏政策獎勵時，期貨交易量將大幅萎縮；公債期貨交易量與「交叉避險市場流動性」呈現顯著負相關，流動性強傾向使用交叉避險工具，降低公債期貨交易量。在加入公債選擇權與集中度的模型中，「現貨市場規模」與公債期貨交易量有顯著正相關，市場規模大使得交易商次級市場價格控制低，使利率期貨交易量上升。

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.

目錄 I
表目錄 II
圖目錄 III
謝辭 V
中文摘要 VI
ABSTRACT VII
第一章 緒論 1
第一節 研究背景與動機 1
第二節 研究目的 3
第三節 研究範疇 3
第四節 研究架構 5
第二章 文獻探討 6
第一節成功或失敗的期貨商品 6
第二節 影響期貨交易量的因素 7
第三節 國內利率期貨分析 9
第四節 結語 12
第三章 研究方法 13
第一節 實證模型 13
第二節 後續修正模型 15
第四章 變數與模型設定 21
第一節 利率現貨市場 22
第二節 利率期貨市場 38
第三節 模型設定 55
第五章 實證結果與分析 58
第一節 期貨交易量敘述統計 58
第二節 實證迴歸結果 62
第六章 結論與建議 65
第一節 結論 65
第二節 後續研究建議 66
參考文獻 68
附錄 71

參考文獻
一、中文參考文獻
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8.蔡依蒨，2003，短期利率期貨與現貨關聯性之研究－以三個月美國國庫劵與歐洲美元為例，南華大學財務管理研究所碩士論文。

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