摘要
国债期货市场出现操纵,会扭曲作为各类金融资产定价基准的收益率曲线,不利于国债期货价格发现功能的发挥。本文以5年期国债期货合约可交割债券为样本,分析了最便宜可交割债券的特征,构建了识别国债期货跨市场操纵的实证模型。实证结果表明,5年期国债期货合约整体上未发生跨市场操纵行为。监管层在市场操纵风险可控的前提下可逐步放松管制,以改善国债期货市场活跃度,有效发挥国债期货市场的应有功能。
The manipulation of treasury bond futures market will distort the yield curve as the pricing benchmark of all kinds of financial assets,which is not conducive to the function of treasury bond futures price discovery.This paper makes a case study of deliverable bonds in five-year treasury bond futures contracts,analyzes the characteristics of the cheapest deliverable bonds,and constructs an empirical model to identify cross-market manipulation of treasury bond futures.The empirical results show that there is no cross-market manipulation in five-year treasury bond futures contracts as a whole.The regulators may gradually deregulate the market under the premise that market manipulation risk is controllable to improve the vitality in treasury bond futures market and bring the function of treasury bond futures market into full play.
作者
何志刚
杨彩云
李二勇
HE Zhi-gang;YANG Cai-yun;LI Er-yong(School of Finance,Zhejiang Gongshang University,Hangzhou 310018,China)
出处
《天津商业大学学报》
2020年第5期35-44,共10页
Journal of Tianjin University of Commerce
基金
浙江省自然科学基金项目“国债期货的逼仓机理、风险测度及监管研究——以我国5年期国债期货为例”(LY16G030001)。
关键词
国债期货
跨市场操纵
最便宜可交割债券
treasury bond futures
cross-market manipulation
the cheapest deliverable bonds
