Research On The Theory And Strategy Of Treasury Bond Futures' Basis Arbitrage

Since the mid-1990s,the Central Bank has accelerated the pace of promoting interest rate liberalization,resulting in frequent fluctuations in the spot market of national debt,significant exposure to interest rate risks,and a stronger demand for investors to effectively manage interest rate risk instruments.After the treasury bond futures is listed,it uses its base arbitrage trading in the treasury bond futures market,which can not only effectively avoid the potential risks brought by the interest rate market fluctuations,protect the expected earnings,but also enrich investors'means to inject liquidity into the treasury bond spot market.This paper first describes in detail the components of China's Treasury bond futures contracts and the development status of Treasury bond futures markets.Then it analyzes the market size and liquidity of Treasury bonds,compares the ETF market development status,and demonstrates the rationality of Treasury bond ETFs in place of a basket of Treasury bonds.Then analyze the principle of arbitrage arbitrage trading of Treasury bond futures,the basis feature of Treasury bond futures,and the determination of CTD,and discuss the arbitrage model and arbitrage strategy suitable for China's Treasury bond futures market.In the stage of empirical resear-ch and analysis,this paper adopts the cointegration statistical arbitrage method to analyze the basis arbitrage strategies of two kinds of treasury bond futures.When designing treasury bond futures base spread arbitrage trading strategies,the paper selects five-year and ten-year Treasury bond futures,and selects the corresponding Treasury bond ETF as spot to carry out Treasury basis arbitrage trading.The empirical research results show that the 5-year Treasury bond futures contract uses Treasury ETFs to make significant gains from basis arbitrage transactions.During the empirically selected time period,the arbitrage yield reached 19.22%,while the 10-year Treasury bond futures basis arbitrage yield was very low,only 1.26%.This article carries on the preliminary analysis to this phenomenon,thinks that may first because the 10-year government bond ETF market time is short,the transaction is unstable,causes the fund closing price to fluctuate volatility greatly,causes the arbitrage failure phenomenon to appear repeatedly in the national debt arbitrage process;Once again,there is no active 5-year Treasury bond futures trading in the 10-year Treasury bond futures,which is prone to extreme closing prices.In general,the five-year Treasury bond futures contract when using the collective conglomerate thinking to carry out basis arbitrage trading on Treasury bond futures has a clear return,which has strong practicality.