Proceedings of the 2015 3d International Conference on Advanced Information and Communication Technology for Education

An Empirical Research on Hedging with T-bond Futures in China

Authors
Xu Xiaoting, Liang Jianfeng
Corresponding Author
Xu Xiaoting
Available Online August 2015.
DOI
10.2991/icaicte-15.2015.80How to use a DOI?
Keywords
T-bond futures, Hedge, Hedge performance evaluation
Abstract

This paper investigates hedge investment by using T-bond futures in terms of static and dynamic frameworks to control the interest risk of different types of bondsportfolios. The empirical test shows that the hedge performanceare affected by the correlation between the prices of bonds and treasury futures, the length of the bond remaining term and also the credit risk. Specifically, the CTD bond is always with the best performance by hedging with T-bond futures, and other long term deliverable bonds and financial bonds are also well hedged. While the hedging performance to those short term deliverable bonds are not so good,neither to credit bonds.

Copyright
© 2015, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

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Volume Title
Proceedings of the 2015 3d International Conference on Advanced Information and Communication Technology for Education
Series
Advances in Computer Science Research
Publication Date
August 2015
ISBN
978-94-62520-96-7
ISSN
2352-538X
DOI
10.2991/icaicte-15.2015.80How to use a DOI?
Copyright
© 2015, the Authors. Published by Atlantis Press.
Open Access
This is an open access article distributed under the CC BY-NC license (http://creativecommons.org/licenses/by-nc/4.0/).

Cite this article

TY  - CONF
AU  - Xu Xiaoting
AU  - Liang Jianfeng
PY  - 2015/08
DA  - 2015/08
TI  - An Empirical Research on Hedging with T-bond Futures in China
BT  - Proceedings of the 2015 3d International Conference on Advanced Information and Communication Technology for Education
PB  - Atlantis Press
SP  - 341
EP  - 345
SN  - 2352-538X
UR  - https://doi.org/10.2991/icaicte-15.2015.80
DO  - 10.2991/icaicte-15.2015.80
ID  - Xiaoting2015/08
ER  -