The bond index reflects an indicator system of the overall trend of the bond market price. Like the stock index, the bond index is a ratio whose value reflects the position of the average price of the current market relative to the average price of the base market. Internationally, mature bond indexes have been developed and are still under continuous research. It is not difficult to comprehend the latest international bond index development trends from comparative studies.
Bond index
The bond index reflects the overall trend of the bond market price.
Bond index reflects the overall trend of the bond market price
Currently, the most commonly used comprehensive bond indexes in the world are: Lehman Brothers Aggregate Index (now Barclays Capital Aggregate Index), Merrill Lynch Domestic Market Index, Salomon Smith Barney Broad Investment-Grade Bond Index. Ryan Treasury Composite Index, and JPMorgan Global Government Bond Index and HSBC Asian Local Bond Index. Each of these bond indexes has the following characteristics:
In choosing the price of the sample bond, the practice of each index is different. The Lehman Brothers Aggregate Index and Merrill Lynch Domestic Market Index use a combination of trader pricing and model pricing to determine the final sample bond price. The Ryan Treasury Composite Index uses the market price of the bond. The JPMorgan Global Government Bond Index and Salomon Smith Barney Broad Investment-Grade Bond Index use traders' pricing methods.
From a practical point of view, bond indexes have the following functions:
(1) Bond indices can be used for market analysis and market forecasting. Investors can check the static and real-time bond index
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Classified according to the above table, medium
Bond index exchange market
The bond market indexes that have been officially released on the exchange market include: CITIC Treasury Bond Index and Shanghai Securities Treasury Bond Index. As the base value of the SSE Treasury Bond Index is 100, in order to facilitate a more intuitive comparison of the two indexes, the SSE Treasury Bond Index values are magnified by 10 times at each point; at the same time, since the SSE Treasury Bond Index was released on January 2, 2003, The comparison start date of the two indexes is set on January 2, 2003.
Through empirical analysis, from January 2 to May 16, 2003, the CITIC Treasury Bond Index rose by 1.71% and the volatility was 4.55, while the Shanghai Securities Treasury Bond Index rose by 1.77% and the adjusted index volatility was 3.98. The differences between the two indices are slight, and the trends of the two indices are basically synchronized. Compared with the second index design arrangement, this is mainly due to the fact that the two index designs are basically the same except for the index sample and interest reinvestment treatment. The sample of the CITIC Treasury Bond Index selects all bonds listed on the exchange market, including two floating bonds, while the Shanghai Stock Exchange Treasury Bond Index includes only fixed interest bonds and one-time principal and interest repayment bonds; for interest reinvestment, the CITIC Treasury Bond Index assumes that interest will be the same as the original The weighted investment in the index, while the SSE Treasury Bond Index assumes that the original weighted investment in the index, while stipulating that the last trading day at the end of the month must be removed from the index, the difference between the two has a small impact on the index. From the perspective of yield and volatility, the two indexes can basically reflect market changes.
Bond index interbank market
The BOC Bank Bond Index and Interbank Center Interbank Bond Index are interbank bond indexes that are used more in the market. Also, since the base value of the BOC Bank Bond Index is 100, in order to facilitate the comparison of the two types of indexes, the index value of the BOC Bank Bond Index at each point in time is enlarged by 10 times. At the same time, considering that the latest BOC Bank Bond Index has been launched since 2002, It will be used on June 3, 2012. In order to enhance the comparability of the data between the two indexes, the comparison point will be set on June 3, 2002.
Through empirical analysis, from June 3, 2002 to May 29, 2003, the BOC Bank Bond Index rose by 0.12% with a volatility of 7.26; the Interbank Offered Center Index increased by 1.30% with a volatility of 4.75. The trends between the two are quite different, especially the interbank bond index trend is relatively flat. Differences in the sample size, liquidity, and sample adjustment rules of the two indexes are the main reasons for the different trends. Contrast with the market evolution of the bond market for more than a year, especially the decline adjustment that began in mid-2002, the consolidation at the end of 2002 and even the subsequent rise, compare the trend of the second index: the Interbank Center Index has basically not fallen since June 2002 , And the volatility is small, when the broader market rises, there is no obvious increase, the index reflects the timeliness of market changes and provides a reference for bond portfolio investment analysis is slightly weaker than the BOC Bank Bond Index.
Bond Index Market Composite Index
At present, the indexes that generally describe the price trends of interbank treasury bonds, financial bonds, and corporate bonds are: the Interbank Center Composite Index, the Bank of China Interbank Composite Index, and the CITIC Bank Bond Index. For comparison purposes, the Bank of China Interbank Composite Index is also enlarged. 10 times, and set the time of analysis and comparison on June 3, 2002.
From June 3, 2002 to May 29, 2003, the Interbank Center Composite Index increased by 1.14% with a volatility of 4.58; the Bank of China Interbank Composite Index increased by 0.10% with a volatility of 8.00; the CITIC Bank Bond Index increased by -0.38% with volatility The rate is 8.72. In contrast to the evolution of the interbank bond market, considering the yield and volatility, the BOC Interbank Composite Bond Index and the CITIC Interbank Bond Index can more accurately describe the evolution of the entire interbank bond market than the Interbank Center Composite Index. The inter-bank comprehensive index covers all bonds in the inter-bank market, while the BOC inter-bank bond index does not include inter-bank corporate bonds. The nuances of the two indexes in the sample interval provide the possibility to meet the needs of different investors.
