The Research Of Future-Spot Arbitrage In China’s Treasury Bond Futures

Future-spot arbitrage is a very important behavior in finance. This kind of behavior can not only provide investors with no or low risk arbitrage profits, but also prompt market prices fully reflect market information, enhance spot market liquidity, so the study of Future-Spot Arbitrage also becomes pretty important.China’s treasury bond futures restarted on September 6,2013,this means that the financial markets and a more important means of interest rate risk management, the bond market formed the issuance and trading and risk management level 3 complete bond market system. After Treasury futures market pricing efficiency, whether can fully reflect the information of market, investors how to judge the arbitrage opportunities, face the arbitrage opportunity how to operate and so on, all these problems are the focus in the study of this article.Studies have been spot on Treasury futures arbitrage is implicit in the use of Implied repo rate method, Implied repo rate method based on ideal assumptions, in judging the arbitrage opportunity and arbitrage space, slightly rough, does not get this method to calculate the actual trading in arbitrage profits. In this paper, based on the consideration of transaction costs, calculate the bond futures no-arbitrage interval, futures prices more than no-arbitrage interval would exist arbitrage opportunities. If there are clear on the market, a large number of arbitrage opportunities, market pricing efficiency is low, investors have failed to fully involved in the carry trade.Since going public in 248 trading days, four empirical studies found that futures contracts: at present, the national debt futures market is a lot of arbitrage opportunities, market pricing efficiency is extremely low. Many reasons may cause this phenomenon : first, investors are not familiar with the bonds futures and cannot grasp the opportunities of arbitrage accurately during the time of bonds futures listed early; second, spot market’s liquidity is insufficient and the rates fluctuations are small, which directly lead to the wishes of investors participating in bonds futures declined; third, bonds futures take real delivery system,while commercial banks as the subject of maximum of holding coupons are not allowed to participate in the market of bonds futures, which makes bonds futures market trading light; forth,the arbitrage model in this paper, only considered trading cost, market impact costs and waiting for cost factors are not considered into the model, which contribute to narrowing the arbitrage-free interval and having more arbitrage opportunities.