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Determining the Cheapest-to-Deliver Bonds for Bond Futures

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The turnover ratio for government bonds is lower than in most markets in emerging East Asia—the corporate ratio compares well, but the small number of outstanding bonds means the secondary market is small and illiquid. The turnover ratio for Indian government bonds, in 2007 was 104%, meaning that, on average, government bonds changed hands slightly more than once a year.3 Although some caution is necessary when making international comparisons because of differing methodologies,4 government bond market turnover ratios in other emerging East Asian markets were higher (Figure 6). Ratios in Korea, PRC, and Indonesia were around 150% in 2007; in...
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Determining the Cheapest-to-Deliver Bonds for Bond Futures

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