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长期以来,上海交易所和银行间市场两者的回购资金利率存在相当大的差距。上交所的回购利率高,银行间市场回购利率低,尤其以每年11月底到来年初的这段时间利率差距为甚。这种明显的差距为跨市套利提供了极好的机会。按理说,两个市场间明显的利率差距不可能长期存在,否则,一定是制度上存在极大的障碍,使资金不能在两个市场之间自由流动。我国银行间回购市场建立初期,参与者被严格限定在商业银行范围内,自2000年以来才允
For a long time, there has been a considerable gap between the interest rates on repurchase funds in Shanghai Stock Exchange and in the interbank market. The Shanghai Stock Exchange has a high repo rate and a low repo rate in the inter-bank market. In particular, the interest rate gap is very high at the end of November each year. This clear difference provides an excellent opportunity for cross-market arbitrage. It stands to reason that the obvious gap in interest rates between the two markets can not exist for a long time, otherwise there must be a great institutional obstacle that prevents funds from flowing freely between the two markets. China’s initial establishment of the inter-bank repo market, participants are strictly limited to the scope of commercial banks, only since 2000