中国国债期货期现套利策略的应用研究
发布时间：2018-10-11 10:19
【摘要】：中国5年期国债期货的即将推出标志着中国资本市场又向前迈进了一步，为国债市场，乃至整个金融市场的产品和交易创造了新的方式和途径。国债期货的套利研究，尤其是应用通过基差交易实现的期现套利策略，，兼具了使用价值和现实意义。本文的写作目的旨在探究中国5年期国债期货推出后的期现套利策略的有效性。 本文首先介绍了国债期货的概况、历史发展和经验教训，接着阐述了国债期货的合约和定价，重点通过数据解释了国债期货的定价要素：转换因子和最便宜交割债券，并介绍和推导了国债期货的定价理论，即持有成本模型和基于最便宜交割债券的无套利原理。 然后，本文简要介绍了套利的基本理论和国债期货的套利类型，并用定性的方法，详细阐述了期现套利策略中最简单易行的基差套利方法。 最后，本文分别对中国90年代国债期货试点、中国沪深300股指期货、中国5年期仿真国债期货及美国短期国库券期货进行了实例分析，从纵向和横向的比较，展望了即将上市的5年期国债期货期现套利策略的有效性。
[Abstract]:The coming forward of China's 5-year Treasury bond futures marks another step forward in China's capital market and creates new ways and means for the products and transactions of the treasury bond market and even the entire financial market. The arbitrage research of treasury bond futures, especially the strategy of arbitrage in the future realized by basis trading, has both practical value and practical significance. The purpose of this paper is to explore the effectiveness of the arbitrage strategy after the launch of 5-year treasury bond futures in China. This paper first introduces the general situation, historical development and experience and lessons of treasury bond futures, and then expounds the contract and pricing of national debt futures, with the emphasis on explaining the pricing elements of national debt futures through data: conversion factor and the cheapest delivery bond. The paper also introduces and deduces the pricing theory of treasury bond futures, that is, the holding cost model and the no-arbitrage principle based on the cheapest delivery bond. Then, this paper briefly introduces the basic theory of arbitrage and the arbitrage types of treasury bond futures. With qualitative method, the paper elaborates the most simple and easy method of arbitrage in the current arbitrage strategy. Finally, this paper analyzes the Chinese national debt futures in the 1990s, China's Shanghai and Shenzhen 300 stock index futures, China's 5-year simulated treasury bonds futures and American short-term treasury bills futures, and compares them vertically and horizontally. The paper looks forward to the effectiveness of the five-year Treasury futures arbitrage strategy.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F812.5;F224
本文编号：2263827
[Abstract]:The coming forward of China's 5-year Treasury bond futures marks another step forward in China's capital market and creates new ways and means for the products and transactions of the treasury bond market and even the entire financial market. The arbitrage research of treasury bond futures, especially the strategy of arbitrage in the future realized by basis trading, has both practical value and practical significance. The purpose of this paper is to explore the effectiveness of the arbitrage strategy after the launch of 5-year treasury bond futures in China. This paper first introduces the general situation, historical development and experience and lessons of treasury bond futures, and then expounds the contract and pricing of national debt futures, with the emphasis on explaining the pricing elements of national debt futures through data: conversion factor and the cheapest delivery bond. The paper also introduces and deduces the pricing theory of treasury bond futures, that is, the holding cost model and the no-arbitrage principle based on the cheapest delivery bond. Then, this paper briefly introduces the basic theory of arbitrage and the arbitrage types of treasury bond futures. With qualitative method, the paper elaborates the most simple and easy method of arbitrage in the current arbitrage strategy. Finally, this paper analyzes the Chinese national debt futures in the 1990s, China's Shanghai and Shenzhen 300 stock index futures, China's 5-year simulated treasury bonds futures and American short-term treasury bills futures, and compares them vertically and horizontally. The paper looks forward to the effectiveness of the five-year Treasury futures arbitrage strategy.
【学位授予单位】：上海交通大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F812.5;F224
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本文编号：2263827
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