上交所新券和旧券的价差研究

Study on the Price Gap between On-the-run and Off-the-run Treasury Securities of Shanghai Stock Exchange

新券和旧券价格差异被国际学术界普遍关注和解释。我们考察上海证券交易所交易的7年期国债,构造风险特征和久期相同的新券和旧券组合,采用均值和Wilcoxon-Whitney中位数检验,发现二者到期收益率平均存在14个基点的显著差异。使用换手率指标,应用AR(2)模型和GARCH(1,1)模型拟合分析发现,流动性是造成新券和旧券价差现象的显著原因。

The price gap between on - the - run and off- the - run treasury securities has been studied widely by international scholars. This paper explores the price gap between on- the - run and off- the- run treasmy securities of 7 - year notes listed on Shanghai Stock Exchange, using the portfolio of on - the - run and off- the - run treasmy with the same risk characters and duration by mean and Wilcoxon - Whitney test. Studies reveal 14 basis points between the two portfolios. Further studies show that spread caused by liquidity difference, using turnover rate index and AR（2）, GARCH（1,1） models. This paper benefits research on bend investment, issue pricing and term structure.