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ID:50177438
大小:4.98 MB
页数:57页
时间:2020-03-04
《基干协整的国债期货期现套利实证研究.pdf》由会员上传分享,免费在线阅读,更多相关内容在学术论文-天天文库。
1、浙江工商大学硕±论文基于协整的国债期货期现套利实证研究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浙江工商大学硕:ir论文基于协整的国债期货期现套利实证研究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
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