| Abstract:As the most important interest rate risk management tool, the treasury bond futures has been popular among main financial markets since invented in US in late1970s. Chinese Government Bond Futures had been introduced in1992, but canceled in1995because of fuzzy market. However, as the opening and implication of imitated government bond futures template, expectations for real government bond futures are likely to be reality in the near future. Hence the study of government bond futures is valuable for future market development. This paper deduces a no-arbitrage price interval considering trading cost and margin fee based on the cost of carry model, and empirically tests the basis arbitrage strategies with data of imitated government bond futures TF1303in China. |
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