基于我国国债市场价格偏离现象的探讨

Price Deviation in Chinese Sovereign Bond Market

提高国债市场的市场深度是完善国债收益率曲线的重点内容,而本文研究发现由于做空机制的不成熟和套利资本的缺乏,我国国债市场出现了个券收益率长期显著偏离市场收益率的价格偏离现象。该现象并不能完全由套利空间狭窄和市场流动性不足进行解释。基于该价格偏离构建投资组合持有一周,我们发现在2006年1月至2017年4月,该策略可以在银行间市场获得显著的正向平均周超额收益率55基点,在上交所市场获得显著的正向平均周超额收益率30基点,对应年化超额收益率达28.6%和15.6%。在控制债券市场风险、期限风险、违约风险以及流动性风险因子后,该策略在两市场依旧可以获得显著的超额收益率。该策略的因子调整后超额收益率主要由卖空组实现,做空机制的缺乏是产生风险调整后策略超额收益的关键。

Deepening the Chinese Sovereign Bond market is a necessity to improve the efficiency of risk-free yield curve.However,our study finds that due to the shortage of arbitrage capital opportunity and underdevelopment of short-sale mechanism,significant deviation between actual and market-implied bond yield has long been existing in Chinese Sovereign Bond market.We form a weekly-rebalanced trading strategy by shorting bonds with mispricing in the lowest group and longing bonds in the highest group.This strategy earns significant excess weekly return at 55 bps and 30 bps in interbank and exchange market respectively.After controlling for factors such as market,term,liquidity and default risk,and the strategy could still provide significant profit in both markets.The alpha of the strategy is largely due to the shorting position,which we believe is caused by the underdevelopment of short-sale mechanism in the market.