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1、浙江工商大學(xué)碩±論文基于協(xié)整的國債期貨期現(xiàn)套利實(shí)證研究EMPIRICAL-RESEARCHONFUTURESPOTARBITRAGEOFTREASURYBONDFUTURESBASEDONCOINTEGRATIONABSTRACTAlonwiththeraidadvanceof化einterestratemarketizationandgp,thedevelopmentoffinancialmarkets,therequirementofinvestorsforl
2、iskhedinisettinstronerandstroner.Treasurbondbuturesasanggggggyimportantvarietiesoffinancialderivativesaswellasanimportantrisk'management化ol化intere巧rate,willplayanimportantroleinestablishinofthericinmarketizationinimrovinofthetreasurg
3、pg,pgybondissuancessteminfiirtherinoftheKformfortheinteKstratey,gmarketizationandinleadinof出eresourceotimalallocation.Thegp-rshnanca5yearteasurbondfutureshasoficialllitedinCinaFiilyyFuturesExchaneonSetember6in2013.Withtherowins
4、caleofgpggtreasurbondfuturesChinaFinancialFuturesExchanehasblishedy,gputhe-10earTre化urFutureonMarch20in2015。乂sthesecondyy’na-tionaldebt扣turesvarietiesinchinasdomesticmarketthe10ear,y’treasurybondfUtureslistedmeansthatChinasnationa
5、ldebtfuturesIII浙江工商大學(xué)碩:ir論文基于協(xié)整的國債期貨期現(xiàn)套利實(shí)證研究marketbecomesfurthererfect..pAsarbitraetradinisoneof化ethreerimartradinstrateiesinggpyggtileftituresmarketsthearbitraeactivitieswilllaaverimortantrole,gpyyphitreasuryfuturesmarket。Butweare
6、stilllackinofsstemicstudofgyyarbitraestrateiesontreasurfutures.Utonowtreasurbondfuturesggypywasoficialllisted111〇巧thanoneandahalfearsandthemarkethasyy,graduallybecomeactive.Theobviouscorrelationofpricesbetweenfuturesand化esotmakes
7、fUture-sotarbitraerational.Moreoverap,pg,larenumberofresearcheshaveshownthatbothathomeandabroadtheg,methodofstatkticalarbitraebasedonthecointerationisasoundwaggyofinvestmentbecause化combineshighsecurityandstableprofit.Obviously,it
8、isbothofthetheoreticalvalueandgreatpracticalsign巧cance化makeemp