国开换券流动性利差规律研究——兼论相关交易策略的有效性

The Liquidity Spread Trend in the Switch of Actively-Traded CDB Bonds--Also a Discussion on the Effectiveness of Related Trading Strategies

国开活跃券现象,指新发行国开债与相近期限国开债之间存在较明显利差的现象。市场一般将这种利差归结于两者投资者结构不同导致的流动性差异,利用这一利差有收敛趋势的特征,可以设计相关交易策略。文章研究了流动性利差走势的趋势性和规律性,并在此基础上验证了相关交易策略的有效性。

The actively-traded CDB bonds phenomenon refers to the phenomenon that there is a clear spread between the mostrecently issued CDB bonds and the previous issues of a particular maturity.The market generally attributes the spreadto the difference in bond liquidity caused by the different investor structure.The spread tends to converge,whichcan be used to design related trading strategies.The article studies the regular trend of liquidity spread,and tests thee ffectiveness of related trading strategies.