浅析中国不同时期国债期货价格与功能

发布时间：2018-07-04 20:40

本文选题：国债期货重启 + 价格发现　；参考：《南京大学》2014年硕士论文

【摘要】：随着利率的不断市场化,投资者所面临的利率风险日趋加大,市场上对于管理利率风险工具的需求不断增加。在此背景下,中国在时隔十八年之后再一次推出国债期货交易。本论文选取国债期货价格与功能这一角度,对中国不同时期的国债期货进行分析研究,目的是通过对比分析,找出中国国债期货发展规律,发现当前国债期货交易过程中存在的问题,适时提出解决方法,为投资者提供参考。本论文对于试点时期国债期货交易研究主要是通过建立定价模型并利用有限的交易数据计算国债期货理论价格,再对比分析理论价格与实际交易价格,从中找到规律。对于当前的国债期货研究主要采用实证分析法,分别对现有的交易数据进行有效性检验、期货与现货价格的格兰杰因果检验以及套期保值有效性的回归。本论文得出的主要结论有：试点时期的国债实际价格严重偏离理论价格,国债期货价格与现货价格间存在较大套机空间,国债期货功能不能完全发挥；重启后的国债期货的价格具有有效性,价格发现功能能够很好发挥,套期保值功能也能发挥,但是短期套期保值有效性比较低；对比两时期的国债期货发展,发现当前国债期货发展存在的最大问题是国债期货流动性严重不足,市场参与度不够,这严重制约当前国债期货发展。为改变这一发展状况,必须创造“三公”发展环境,逐步放松限制,有步骤的准许银行等大型金融机构进入。
[Abstract]:With the marketization of interest rate, the interest rate risk faced by investors is increasing day by day, and the demand for interest rate risk management tools in the market is increasing. In this context, China introduced Treasury futures trading again after 18 years. From the perspective of the price and function of treasury bond futures, this paper analyzes and studies the futures of national debt in different periods in China, the purpose of which is to find out the law of the future development of China's national debt through comparative analysis. This paper finds out the existing problems in the course of futures trading of treasury bonds, and puts forward the solutions in time to provide reference for investors. In this paper, the research of treasury bond futures trading in the pilot period is mainly through the establishment of pricing model and the use of limited trading data to calculate the theoretical price of national debt futures, and then compare and analyze the theoretical price and the actual transaction price to find out the law. For the current research on treasury bond futures, empirical analysis is used to test the validity of existing trading data, Granger causality test of futures and spot prices, and regression of hedging effectiveness. The main conclusions of this paper are as follows: the actual price of national debt deviates seriously from the theoretical price during the pilot period, there is a large space between the futures price of national debt and spot price, and the function of treasury bond futures can not be brought into full play; The price of the restarted treasury bond futures is effective, the function of price discovery can be played well, the function of hedging can also be brought into play, but the effectiveness of short-term hedging is relatively low; compared with the development of treasury bonds futures in the two periods, It is found that the biggest problem in the development of treasury bond futures is the serious shortage of liquidity and market participation, which seriously restricts the development of treasury bond futures. In order to change this situation, we must create the "Sangong" development environment, gradually relax the restrictions, and step by step allow banks and other large financial institutions to enter.
【学位授予单位】：南京大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F812.5;F724.5

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