我国国债期货市场定价效率研究  

A Study of the Pricing Efficiency of China’s Treasury Bond Futures Market

作　　者：夏华 陈恒生 王震 

机构地区：[1]郑州银行党委 [2]郑州银行金融市场部 [3]郑州银行金融市场部风险管理中心

出　　处：《金融市场研究》2020年第9期89-96,共8页Financial Market Research

摘　　要：本文通过隐含回购利率IRR研究了我国5年期和10年期国债期货市场的定价效率,研究发现:我国5年期和10年期国债期货自推出以来,在考虑套利交易者资金融资成本的情况下,我国国债期货IRR的均值和标准差总体呈下降趋势,我国国债期货市场定价效率在逐步提升。同时,本文提出提高国债期货市场套利交易者异质性、提高银行间和交易所转托管效率以及适时推出30年期国债期货产品等建议来提升我国国债期货市场的定价效率。This paper examines the pricing efficiency of China’s five-year and 10-year treasury bond futures market through the implied repo rate IRR. It concludes that since the introduction of fiveand 10-year treasury bond futures, the average and standard deviation of the IRR of China’s treasury bond futures have shown a general downward trend in consideration of the financing costs of arbitrage traders and the gradual improvement of the market’s pricing efficiency. At the same time, the article puts forward proposals to increase the heterogeneity of arbitrage traders in the treasury futures market, improve the efficiency of custody transfers between the interbank and exchange markets, and launch 30-year treasury futures products to improve the pricing efficiency of China’s treasury futures market.

关 键 词：国债期货 最便宜可交割债券 套利IRR 定价效率 

分 类 号：F832.5[经济管理—金融学]