A Research On The Influence Of Strategy-consistency On Return Of Structured Deposit

Structured deposit was introduced into China from the early development of foreign structured products and has developed rapidly in China for nearly 20 years.After the implementation of New Asset Management Regulations in 201 7,structured deposits ushered in explosive growth.In order to meet the increasing demand for structured deposit,domestic commercial banks have designed a variety of structured deposit products.For investors’ seeking lower risk and higher returns,how widely can investors indeed make their choices in the face of numerous structured deposit products,whether to meet investors’ expectation of achieving high earnings,also for the market,whether to enrich financial products effectively,whether to improve the financial innovation ability,these questions are what we concern.These lead to the research on the influence of the option-strategy-consistency degree on the return realization of structured deposit products,which issued by domestic commercial banks.For issuing banks,the option-strategy-consistency reflects the richness of their products and the professional level of their institutions.For the whole market,it reflects the research depth and breadth of all the market participants,and reflects the maturity level of the structured deposit market.On the basis of scholars’ research,combined with the chinese market data in recent years,this paper tries to conduct some extended research on return influence factor of structured deposits.By collecting 3389 structured deposit products’ detail information of 8 representative commercial banks such as Bank of China on the domestic market,classified in accordance with the hooked subject matter,with the way to exercise of options,combined with the hooked subject matter and the way to exercise of options,we analyse the option-strategy-consistency of structured deposit.Then the empirical regression analysis model is set up,respectively,from the perspective of individual banks,also from the perspective of overall market.This paper uses the multivariate linear regression to study the influence of strategy consistency level on the realization of products’ return,and tries to provide reference for the study of structural deposits in China in order to enhance the ability of realizing high return.The results of regression analysis show that:from the perspective of the overall market,the strategy-consistency of structured deposit has a negative correlation with the realization of high return;from the perspective of individual banks,the individual effect of banks is prominent according to the issuance arrangement of structured deposit product lines,which vary from different commercial banks;from the perspective of return influence factor,the loan-to-deposit ratio of commercial banks and the risk-free market interest rate have a significant influence on the return of structured deposit products,while the product term,threshold amount and issuing quantity(frequency)of structured deposit products also have a significant but small influence on the return of structured deposit products.The option strategies of all structured deposit products issued by Bank of Beijing and Rural Commercial Bank of Dongguan are 100%consistent.All their products achieve high returns,and the realization of returns is not affected by other variables.In view of the abnormal data of two sample banks in the regression model,this paper randomly selects one sample of each bank for instance analysis.Respectively,the two sample products are linked to the market trend of USD 3M Libor and EURUSD spot exchange rate.Under the framework of Libor Market Model and geometric Brownian motion of exchange price,this paper makes a quantitative analysis of two cases using Monte Carlo simulation method,and comes to the conclusion that the products of Bank of Beijing and Rural Commercial Bank of Dongguan are "fake" structured deposits.Through case analysis,this paper provides reference for identifying practice problems such as "fake" structured deposits,for helping the market to reduce "fake" structured deposits and to develop "true" products,also for promoting the healthy and orderly development of the structured deposit market.