Research Into Trading Strategies Between Treasury Bond Futures And Treasury Bond ETF

Listing of T-bond futures meant China’s financial market had taken a huge steptoward interest rate marketization. The participation of arbitrageurs ensures that thefutures price and spot price of T-bond is not a significant deviation.The T-bond marketin our countryexists some problems, such as lack of liquidity, which can cause lack ofarbitrage. T-bond ETF is a good substitute for T-bond in the arbitrage strategies.Theresearch intotrading strategies between T-bond futures and T-bond ETF, can provideinvestors with investment strategies, as well as promote the healthy development ofT-bond futures market.This paper is to validate the effectiveness of the tradingstrategies between the newly listed five-year T-bond futures and GuotaiT-bond ETF.In the beginning of this paper, We introduced the concept, functions anddevelopment history of T-bond futures and T-bond ETF in chapter2, so the readerscan have a rough understanding of these new financial instruments;Then in the thirdchapter, we expounds the arbitrage strategies of T-bond future, and elaborated thecalculation method of arbitrage space between these two instruments.At last, weadopts the method of qualitative, verify the feasibility of the arbitrage strategies withthe market data. And found the advantages and shortcomings of these arbitragestrategies.In the end, this paper come to a conclusion that there existed many arbitrageopportunities from September2013to March2014. At the same time, this paperargues that because the empty party of T-bond futures has the options, its pricing isvery complex, which will leads to T-bonds futures market exists arbitrageoppotunities for a long run. And the calculation of T-bonds futures and options is thekey point of calculating the arbitrage space. This paper believes that as the furtherdevelopment of theT-bond futures market in China and the enlargement of the scale ofT-bond ETFs, those strategies in the future will have more economic value.