Research On The Interest Rate Difference And Arbitrage Of Bond Repurchase Market

The bond repo market has gone through more than 20 years' development.The bond repurchase business has promoted the improvement of the market liquidity and increased the capital utilization of the capital market.However,there are still some problems in China's bond repo market.The two buyback markets between exchanges and banks remain independent.Two the liquidation system,the delivery system,the pledge rule and the trusteeship are all different.The division of the two market makes the rate of the same repo variety difference,and the securities companies,funds and all kinds of non bank financial institutions can trade two markets at the same time in the same two markets.In this context,this paper studies the relevance,difference and arbitrage space of the interbank bond repo market and the exchange bond repo market.The basic conclusions of this paper are:(1)the repo rate of the two major bond repo markets has strong correlation.In the two markets,the interest rate of the same repurchase species is relatively strong,and the two buy back varieties with a relatively close maturity are more relevant.(2)the repo rate of the two major bond repo markets has different volatility.The interest rate fluctuation of the same repurchase variety in the exchange market is greater than that in the interbank market.(3)there are differences in the repo rate and the arbitrage space in the two major bond repo markets.The interest rate of the same repurchase has a certain difference between the two repo markets between the exchange and the bank,and there are arbitrage opportunities.(4)cross market bond buyback arbitrage can reduce the cost of repo financing to a certain extent and improve the overall yield of the portfolio,but the risk of cross market arbitrage is complex.The first chapter introduces the research background,research significance,research content,research methods and literature review,and reviews and reviews the relevant literature on bond repurchase in the academic circles at home and abroad.The second chapter reviews the general situation of China's bond repo business.The third chapter studies the interest rate differences of the two major bond repo markets,and makes a quantitative analysis of the weighted interest rates of the bond repo transactions in the two markets.The fourth chapter designs and verifies the cross market arbitrage scheme of the two major bond repo markets.The arbitrage scheme of two transaction strategies is constructed,and different portfolios are constructed to verify the model,and the conclusion that the cross market arbitrage scheme has the effect of income thickening is obtained.The fifth chapter is the research conclusion and research prospect.This paper summarizes and demonstrates the cross market arbitrage space of my bond repurchase,provides suggestions for practical operation and forecasts the shortcomings of the article.