Research On Pricing Efficiency And Expiring Arbitrage Of China 's National Debt

Our country’s treasury bond futures pilot transaction started in 1992, however, because of the absence of trading mechanism and the immaturity of market circumstances, it ended in failure lasting less than 3 years. After 18 years, treasury bond futures transaction restarted at China Financial Futures Exchange on September 6,2013, which marks China’s capital market a big step.After the restart of treasury bond futures transaction, studying on pricing efficiency of the treasury bond futures market is very important. Because the price discovery function is one of the functions of the treasury bond futures, a well-running treasury bond futures market can provide a basis for the pricing of treasury spot, but also can affect the level of interest rate marketization in our country, thus advancing the process of interest rate marketization.This article firstly analyzes the history and the current situation of treasury bond futures in our country. Through summarizing the reason of failure in treasury bond futures pilot transaction, analyzing the three important conditions for treasury bond futures market to sound development, and concluding that the time of restarting treasury bond futures transaction is ripe.Next, this article analyzes the pricing of treasury bond futures. Through the empirical test of Cost of Carrying Model, we discuss the applicability of the model in our treasury bond futures market. Then, through establish VAR model, we analyze the casual relationship between treasury bond futures, the empirical results show that treasury bond futures’price preferably leads treasury spofs price, and treasury bond futures market is preferably efficient in pricing.On this basis, this article analyzes the arbitrage of treasury bond futures. Firstly we analyze and compare the type of treasury bond futures’arbitrage strategy. Then through the empirical analysis of treasury bond futures truthful data, we respectively calculate the yield of traditional arbitrage and basis trade, and discover the exist of arbitrage opportunity in the market, which reflects from the side that the pricing efficiency of treasury bond futures market has space to improve further.This article lastly summarizes the study above, and comes up with the proposal of promote the pricing efficiency of treasury bond futures market, which ensuring the sound development of treasury bond futures market in our country.