A Study On The Linkage Of Stock Index Futures And Treasury Bonds And Its Portfolio Trading Strategy Design

Stock index futures and Treasury bond futures,which are the standardized futures contracts based on stock index and Treasury bond index.On April 16,2010 and on September 6,2013,China stock index futures and bond futures successfully launching marked the revolutionary changes from commodity futures to financial futures in Chinese futures market,as well as the improvement of the financial derivatives trading system.The CSI 300 has grown into the world's largest trading futures,and the trading volume of Treasury bond futures also has significantly growth.Considering the operating characteristics of China's financial market,I chose stock index futures and bond futures as the investment target to research the co-movement between these two futures,so as to build suitable investment strategy portfolio and investment models gradually for the domestic financial market,and used actual data to make further verification of the domestic financial marketFirstly,this paper analyzed the relationship between the stock index futures and bond futures and the mechanism underlying the co-movement.By building the Copula model,I conducted empirical analysis on the existence and characteristic of the correlation between them.Then we come up with a strategy to find out the arbitrage trading opportunities between stock index futures and bond futures.Following the analysis of the current strategy,we find out that the stock index futures and bond futures have negative correlation.Then by the positive correlation between stock index futures and price difference between the two futures,we built EMA and CUSCORE for arbitrage.The result shows that this strategy has pretty good performance.The meaning of this research lies in the following aspects.It is relatively research in the correlation of the derivatives market.By quantitatively analyzing the internal mechanism and empirical research between stock index futures and bond futures,to discuss the linkage between them.According to the results of date measuring and characteristics analyzing,to design the trading portfolio strategy.Therefore,this portfolio strategy research is a new extension for the application of linkage between stock and bond market,which has the reference value for investors and the financial market.