本文選題：國(guó)債期貨重啟 + 價(jià)格發(fā)現(xiàn)　； 參考：《南京大學(xué)》2014年碩士論文

【摘要】：隨著利率的不斷市場(chǎng)化,投資者所面臨的利率風(fēng)險(xiǎn)日趨加大,市場(chǎng)上對(duì)于管理利率風(fēng)險(xiǎn)工具的需求不斷增加。在此背景下,中國(guó)在時(shí)隔十八年之后再一次推出國(guó)債期貨交易。本論文選取國(guó)債期貨價(jià)格與功能這一角度,對(duì)中國(guó)不同時(shí)期的國(guó)債期貨進(jìn)行分析研究,目的是通過(guò)對(duì)比分析,找出中國(guó)國(guó)債期貨發(fā)展規(guī)律,發(fā)現(xiàn)當(dāng)前國(guó)債期貨交易過(guò)程中存在的問(wèn)題,適時(shí)提出解決方法,為投資者提供參考。本論文對(duì)于試點(diǎn)時(shí)期國(guó)債期貨交易研究主要是通過(guò)建立定價(jià)模型并利用有限的交易數(shù)據(jù)計(jì)算國(guó)債期貨理論價(jià)格,再對(duì)比分析理論價(jià)格與實(shí)際交易價(jià)格,從中找到規(guī)律。對(duì)于當(dāng)前的國(guó)債期貨研究主要采用實(shí)證分析法,分別對(duì)現(xiàn)有的交易數(shù)據(jù)進(jìn)行有效性檢驗(yàn)、期貨與現(xiàn)貨價(jià)格的格蘭杰因果檢驗(yàn)以及套期保值有效性的回歸。本論文得出的主要結(jié)論有：試點(diǎn)時(shí)期的國(guó)債實(shí)際價(jià)格嚴(yán)重偏離理論價(jià)格,國(guó)債期貨價(jià)格與現(xiàn)貨價(jià)格間存在較大套機(jī)空間,國(guó)債期貨功能不能完全發(fā)揮；重啟后的國(guó)債期貨的價(jià)格具有有效性,價(jià)格發(fā)現(xiàn)功能能夠很好發(fā)揮,套期保值功能也能發(fā)揮,但是短期套期保值有效性比較低；對(duì)比兩時(shí)期的國(guó)債期貨發(fā)展,發(fā)現(xiàn)當(dāng)前國(guó)債期貨發(fā)展存在的最大問(wèn)題是國(guó)債期貨流動(dòng)性嚴(yán)重不足,市場(chǎng)參與度不夠,這嚴(yán)重制約當(dāng)前國(guó)債期貨發(fā)展。為改變這一發(fā)展?fàn)顩r,必須創(chuàng)造“三公”發(fā)展環(huán)境,逐步放松限制,有步驟的準(zhǔn)許銀行等大型金融機(jī)構(gòu)進(jìn)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.
【學(xué)位授予單位】：南京大學(xué)
【學(xué)位級(jí)別】：碩士
【學(xué)位授予年份】：2014
【分類號(hào)】：F812.5;F724.5

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