【摘要】：中國5年期國債期貨的即將推出標(biāo)志著中國資本市場又向前邁進了一步，為國債市場，乃至整個金融市場的產(chǎn)品和交易創(chuàng)造了新的方式和途徑。國債期貨的套利研究，尤其是應(yīng)用通過基差交易實現(xiàn)的期現(xiàn)套利策略，，兼具了使用價值和現(xiàn)實意義。本文的寫作目的旨在探究中國5年期國債期貨推出后的期現(xiàn)套利策略的有效性。 本文首先介紹了國債期貨的概況、歷史發(fā)展和經(jīng)驗教訓(xùn)，接著闡述了國債期貨的合約和定價，重點通過數(shù)據(jù)解釋了國債期貨的定價要素：轉(zhuǎn)換因子和最便宜交割債券，并介紹和推導(dǎo)了國債期貨的定價理論，即持有成本模型和基于最便宜交割債券的無套利原理。 然后，本文簡要介紹了套利的基本理論和國債期貨的套利類型，并用定性的方法，詳細(xì)闡述了期現(xiàn)套利策略中最簡單易行的基差套利方法。 最后，本文分別對中國90年代國債期貨試點、中國滬深300股指期貨、中國5年期仿真國債期貨及美國短期國庫券期貨進行了實例分析，從縱向和橫向的比較，展望了即將上市的5年期國債期貨期現(xiàn)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.
【學(xué)位授予單位】：上海交通大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2013
【分類號】：F812.5;F224

【參考文獻】

相關(guān)期刊論文 前1條

1 劉邦馳,何迎新;西方國家國債期貨交易及其啟示[J];廣東商學(xué)院學(xué)報;2005年01期

相關(guān)博士學(xué)位論文 前2條

1 何迎新;中國國債期貨交易研究[D];西南財經(jīng)大學(xué);2004年

2 張曉菊;中國國債期貨的運行制度研究[D];同濟大學(xué);2007年

相關(guān)碩士學(xué)位論文 前3條

1 朱麗麗;恢復(fù)國債期貨交易的可行性研究[D];對外經(jīng)濟貿(mào)易大學(xué);2006年

2 彭利林;我國國債金融衍生產(chǎn)品利率風(fēng)險管理研究[D];西南交通大學(xué);2006年

3 謝斯;利率期貨的定價與實證分析[D];浙江大學(xué);2008年

本文編號：2263827