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中国国债市场收益率曲线套利策略

Yield Curve Arbitrage in Chinese Treasury Bond Market

【作者】 何博

【导师】 余凡;

【作者基本信息】 上海交通大学 , 金融, 2013, 硕士

【摘要】 私募基金的快速成长使得市场对高效、高收益的对冲策略需求日益旺盛,而中国债券市场的迅速扩容为固定收益对冲策略的开发提供了充分的产品和平台支持。实践中虽有少数投资公司在逐步探索收益率曲线套利策略,但学术上仍缺乏对该策略详尽和坚实的验证和风险评估。基于此,本文试图提供一个包括收益率曲线套利策略构建、风险因素分析及收益评价的综合分析框架。此外,基于两因素Vasicek模型,本文还考察了中国国债市场的定价误差。本文选取了2006年7月至2012年6月共六年的国债数据进行实证。样本包括了银行间及上交所所有国债。样本区间及市场的选取是基于交易量大小(流动性)及发展情况而定。在两因素Vasicek模型的框架下,本文完整的推导了国债理论价格公式。基于此,通过一定的规则确定了最优套保比率和无套利空间并且计算出涵盖买卖价差、佣金、冲击成本及回购成本在内的交易成本,根据一定的交易规则计算出了8个子策略超额收益率并发现策略能够获得显著正超额收益,呈尖峰右侧厚尾分布,波动小、组合调整时间小于6个月等特点。本文进一步展开对8个收益率序列的分析,发现交易成本是超额收益的重要解释变量,而无套利空间的变化虽然对风险调整收益无明显影响,但却显著改变了收益的概率分布。利用资本资产定价模型(CAPM)和Fama-French多因素模型,本文考察了策略收益的风险因子。我们发现CAPM不能很好的解释超额收益,两个模型对基于交易所市场的策略解释效果尤其不佳,即便在添加了流动性风险因子的情况下。策略收益与Fama-French因子呈非线性关系。此外,利用多因素模型,我们发现策略失败概率与流动性强度负相关、与宏观经济走势正相关。基于传统度量指标和纳入非线性和非正态分布的有效性检验,我们发现收益率曲线套利策略能够在短期和长期中产生显著正超额收益,但并不能提供更具优势的投资收益。

【Abstract】 Fast growth of private equity funds encourages the demand for profitable hedging strategies,while developing Chinese bond market provides products and platform for fixed income hedgingstrategies. Though yield curve arbitrage strategy has been executed by a few financial institutions,there is still no relevant detailed and complete analysis in academic field. As a result, this paperaims to provide a framework covering construction of yield curve arbitrage strategy, analysis of riskfactor and evaluation of performance. Besides, we also check the mispricing of Chinese Treasurybond based on two-factor Vasicek model.We use all the Treasury bonds trading in both interbank and exchange market from July,2006to June,2012as sample.Based on two-factor Vasicek model, we calculate the theoretical bond price and by determininghedge ratio, trigger value and modeling transaction costs, we obtained eight series of excess returnwhich proved to be significantly positive on average with low volatility, fat-tailed and positivelyskewed distribution.We find that transaction cost is the key factor that can explain the excess return and that bothCAPM and Fama-French factor model do not fully capture the risks of our strategies, especially forexchange-based strategies even when liquidity factor is added. Besides, significant nonlinearityexists between strategy return and Fama-French factors. We also find that probability of failure instrategy is positively correlated with liquidity and negatively correlated with macro economy. Fromthe perspective of both traditional performance measure and efficiency test which considersnonlinearity and non-normality, our strategy does earn significantly positive return, but doesn’tdisplay superior performance.

  • 【分类号】F812.5;F832.51
  • 【被引频次】1
  • 【下载频次】334
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