The empirical research of arbitrage effect in Taiwan 10-years government bond futures market

• Main Authors: Yung-Hsien Huang, 黃勇諴
• Other Authors: none
• Format: Others
• Language: zh-TW
• Online Access: http://ndltd.ncl.edu.tw/handle/93752449071322921474

碩士 === 國立雲林科技大學 === 財務金融系碩士班 === 93 === According on the past researches, the futures market in emerging countries often exist the arbitrage opportunities in primary period. So we have interesting if the 10-years government bond futures market would appear such phenomenon in the first trading year in Taiwan. In the paper, we observe the daily data of all trading bonds at the maturity day and transform the spot price data into futures price to look for the arbitrage opportunities every day. Then, compare the arbitrage return and the risk-free rate. We get some empirical results： 1.The result of the OTC and Gretai Government Bonds System (GGBS) trading are the same. The difference is very small. 2.The arbitrage opportunity of when-issued is higher than on the list. 3.There are large difference between theory price and realistic price in futures market and the volatility. 4.The difference between theory price and realistic price becomes smaller until approaching the maturity and becomes larger after the settlement. 5.In the early years (before 1998), the difference between theory price and realistic price in futures market is positive or negative. In the recent years(after 1999), the difference is almost positive. 6.The arbitrage return is higher than the risk-free rate and the repo bond interest rate.