An Empirical Study On The Yield Curve And The Distribution Of The Yield Of Chinese Treasury Securities

This paper firstly illustrates the great theoretical value and practical significance in the study on the yield of Chinese treasury securities, reviews the theoretical achievements of the yield of the treasury securities at home and abroad, then brings forward the general outline and the problems to be solved. Briefly using the empirical methods in the main body, the former part explores the construction methods of the static yield curve and the dynamics of the yield curve, and the latter part makes an empirical study on the symmetry of the distribution of the yield, the weekend effect on the market and the random transferring of the yield. The main body can be summarized as the following five sections:This paper firstly creatively builds the yield curve of our treasury securities by the method of regressive interpolation and spline. By the empirical study we can see that the method not only can build a smooth yield curve but also can predict the yield to maturity of any given term on the basis of the practical dealing data on the markets.Besides the construction methods of the yield curve of the treasury securities, this paper also investigates the dynamic yield curve, making an empirical study on the dynamics of the yield curve in two periods by the method of principal components analysis. Firstly, the paper constructs all the principal components and analyzes the explanatdry power of every principal component; Secondly, the paper analyzes the correlations and volatilities of the changes of the yield of every term; lastly, the paper makes a comparison of the dynamics between the two periods, concluding that the dynamics of the yield curve should be studied dynamically.This paper studies the symmetry of the distribution of the yield of Chinese treasury security by the methods of Wilcoxon-Mann-Whitney and Kolmogorov-Smirnov, drawing the following conclusion that the distribution of the yield neither obeys the normal distribution nor has symmetry.This paper makes an empirical study on the weekend effect on the treasury security market, firstly, the paper analyzes the distribution of the yield of the treasury security by the method of Kolmogorov-Smirnov; Secondly, the paper examines the existence of the weekend effect on the treasury security market; Thirdly, the paper examines the mode of the weekend effect. Lastly, the paper analyzes the great differences among the risks in each day in a week by the method of Levene. The following conclusion is drawn that the weekend effect on the treasury security market is not typical, because on Mondays the yield is the slowest and the variance is the largest, and on the other days there are notlarge differences among their yields and variances.This paper studies the random transferring of the yield of Chinese treasury security by Markov model, firstly concluding that the dynamics of the yield of the treasury security obeys the Markov model, secondly estimating the matrix of probability of transferring by historical data, lastly making an predicting of the future trend of the yield.In a word, this paper creatively explores the construction methods of the static yield curve of Chinese treasury securities, expands the study of the yield curve from the static state to the dynamic state, makes an empirical study of the characteristics of the distribution of the yield by the methods of the mathematical statistics, and provides the references for the investors to buy or sell the treasury securities.Cao Xinghua (finance) Directed by Yang Chunpeng...