跨市场交易债券的套利分析  

The arbitrage analysis of cross-market bonds

作　　者：王宁[1] 朱才敏 

机构地区：[1]中原工学院理学院,河南郑州450007 [2]华安基金管理有限公司,上海200120

出　　处：《佛山科学技术学院学报（自然科学版）》2015年第6期55-58,共4页Journal of Foshan University(Natural Science Edition)

基　　金：河南省教育厅科学技术研究重点项目(13A110117)

摘　　要：对我国国债市场上的跨市场交易品种的跨市套利交易机会进行研究,结果表明,在回购交易市场上,回购利率的差异在大多数情况下可以给作为交易所市场会员的证券公司投资者带来无风险套利利润,并且不会带来较大的流动性风险,但是,若要使套利利润达到一定量(比如10 000元),则所需的套利交易量将大大增大,从而使得套利交易面临较大的流动性风险。而对于非交易所市场会员的其他投资者来说,由于交易需要支付大量的佣金,而使得套利交易的机会大大减少。In this paper, we research the arbitrage opportunities of the cross-market bonds in the Treasury bond market. Results show that in the repo transactions market, repo rate differences in most cases which can bring risk-free arbitrage profits to the securities company as members of the exchange market and will not bring greater liquidity risk. But to make arbitrage profits reach a certain amount($10 000), the arbitrage trading volume will increase so greatly that make the carry trade face a greater risk of liquidity. And due to the need to pay a lot of commission, the arbitrage opportunities for other investors greatly reduce.

关 键 词：银行间国债市场 交易所国债市场 套利分析 

分 类 号：F832.5[经济管理—金融学]