Research On CDB Bond Investment Strategy

Among the three policy banks in China,China Development Bank(CDB)has the largest volume of policy bank financial bonds issuance,which made CDB bond a representive when studying the policy bank financial bonds.The aim of this study is to examine the effectiveness of special trading strategy in CDB bond trading,and therefore enhance the efficiency of CDB bond investment.This paper briefly introduces the development history of CDB bonds,explaining the formation of its important role in China bond market.Within the framework of term structure of interest rates theories,we examining the yield cure of CDB bonds,trying to find factors which have most influence on the change of yield curve's shape.Empirical analysis on application of riding strategy in CDB bonds trading shows that riding strategy is efficient in most situation.Furthermore,an analysis of comparison between riding strategy and bullet strategy in CDB bonds trading is carried out.The results indicate respectively the situations when riding strategy and bullet strategy has advantage on each other when the shape of yield curve moves.