Generally, when market interest rates rise, the price of the Treasury bond futures contract with a longer underlying period will fall ( ) and the price of the Treasury bond futures contract with a shorter maturity will decrease.

Answer: C

Generally, when market interest rates rise, the decline in the price of Treasury bond futures contracts with a longer underlying maturity will be greater than the decline in the price of Treasury bond futures contracts with a shorter maturity. Investment Investors can choose the opportunity to hold short positions in longer-term Treasury bond futures and long positions in shorter-term Treasury bond futures to obtain arbitrage gains. Therefore, option C is selected for this question.