各天期殖利率走勢有一定相關性，從過去的資料顯示，在美國芝加哥交易所上市的美國債券期貨，從兩年期、三年期、五年期至三十年期債券期貨商品非常完整，且其歷史價格的走勢上也相當相似，因此換算成殖利率後，彼此間的殖利率差會隨著相對的強弱的變化呈現放大與縮小的情況。而以往有很多文獻表示，在交易市場上運用布林通道作為配對交易判斷當下價差是否合理並找出一個風險性套利機會的參考指標。因此本研究也使用此方法建構一價差交易策略，探討在美國債券期貨交易市場上，是否也能夠有可交易之配對商品，並有效獲得利潤，並同時觀察不同參數是否能有穩定表現。研究結果顯示，在五年級十年期債券期貨的配對中能夠有超額報酬，而布林通道的交易周期及寬度在一定範圍內有較佳的獲利表現，交易時所面臨的風險也越小。;here is a correlation between the US bond futures. Converting those commodities to interest rate, we can find that the interest spread would be enlarged and reduced. Previous documents indicated that the usage of Bollinger Bands in the trading market as a reference of a paired transaction indicator that can judge whether the current spread is reasonable. Thus, Bollinger Bands can bring us an arbitrage opportunity. This research adopts this method to construct a pair trading strategy operating in US bond future market. Result shows that there is an abnormal return within this trading strategy operating in the pairing of fifth-year and ten-year bond futures. The shorter trading cycle of the Bollinger Band is, the better profitability performance. On the other way, the strategy within a certain range may encounter a smaller risk.
