作　　者： ; ;

机构地区： 中山大学岭南学院

出　　处： 《中国管理科学》 2015年第S1期459-463,共5页

摘　　要： 中国国债期货市场尚处于发展初期,本文实证检验中国国国债期货上市交易以来市场存在的套利投资机会并评价市场定价有效性。研究考虑到交易成本和交易保证金等现实因素,基于基差套利思想推导了国债期货无风险套利价格区间。进而基于中国国债期货上市交易数据,实证检验市场是否存在期现套利和跨期套利机会。结果表明即使考虑了交易成本等现实因素,中国国债期货市场仍然存在可观的套利机会。套利收益来源以正向期现套利策略为主,市场同时也存在正向跨期套利机会,但由于跨期套利组合期货合约的CTD券可能不同,且交割时面临流动性问题等因素影响,跨期套利的获利空间不大。 In the past 10 years,China's bond market has been rapidly developed.With the trend of interest rate liberalization,institutional investors face with more interest rate risks.T-bond futures,as one of the most important interest rate derivatives,started to be traded in China from Sep.6,2013.In this paper focus is raised on testing the arbitrage opportunities in the T-bond futures market in China.Considering transaction costs,margin and other trading commissions,the no-arbitrage price ranges are derived based on the idea of basic value arbitrage.The empirical result shows that even considering the transaction costs and other practical factors,there exist significant arbitrage opportunities in China's T-bond futures market.Most of the basis arbitrage profits are obtained by using short-futures and long-spot strategies.There also exist positive inter-temporal arbitrage opportunities,but the profit margins may shrink.

关 键 词： 国债期货 基差套利 跨期套利

领　　域： [经济管理] [经济管理]