The arbitrage analysis of cross-market bonds
WANG Ning
ZHU Cai-min
Abstract：In this paper, we research the arbitrage opportunities of the cross-market bonds in the Treasury bond market. Results show that in the repo transactions market, repo rate differences in most cases which can bring risk-free arbitrage profits to the securities company as members of the exchange market and will not bring greater liquidity risk. But to make arbitrage profits reach a certain amount ($10 000), the arbitrage trading volume will increase so greatly that make the carry trade face a greater risk of liquidity. And due to the need to pay a lot of commission, the arbitrage opportunities for other investors greatly reduce.
Keywords：inter-bank treasury bond marketexchange treasury bond marketarbitrage analysis
Publication Date：2015-01-01
Online Publishing Date：2025-08-15(First online date of this platform, not the publication date of the document)
Pages：4( 55-58 )