Research On Relationship Between Treasury Bond Futures And Spot Price Based On High Frequency Data

Treasury bond futures are very important futures in the international financial market.Modern Treasury bond futures trading in China began on December 28,1992,but due to the interest rate mechanism is not perfect and the trading system is not perfect and other reasons,causing shocked the Treasury bond futures events named "327 ",directly putting the Treasury bond futures to be stifled in the cradle.After 18 years of development,the domestic financial market regulation rules are becoming more and more perfect,the Treasury spot has made rapid development,gold,copper,stock index and other financial attributes futures varieties gradually have been o n the stage of history,re-listed bonds futures contract conditions are ripe.Based on the lessons learned from the failure of the last Treasury bond futures and the successful design experience of the United States and other Western countries,the China Financial Futures Exchange launched a five-year Treasury bond futures simulation transaction on February 13,2012.Since then,the pace of the Treasury bond futures market significantly accelerated,At September 6,2013 officially launched Treasury bond futures contracts,March 20,the 10-year Treasury bond futures were listed on March 20,2015.After five years of stable operation,Treasury bond futures volume has gradually increased,the market function plays well.So the Treasury bond futures as a research object to carry out in-depth study has important theoretical and practical significance.Based on the theory of modern finance and advanced statistics,this paper analyzes the relationship between Treasury bond futures and spot prices by using 5-year Treasury bond futures contracts and five-minute high-frequency trading data.And put forward the policy suggestion according to the research conclusion.The content of this paper is summarized as three aspects.First,the paper analyzes the reasons and the conduction mechanism of the mutual influence between the Treasury bond futures and the spot price,and puts forward the view that the introduction of the Treasury bond futures will affect the spot market.On the basis of solving the core problems of the rel ationship between Treasury bond futures and spot price,the effective market division theory,cost of carry theory,expected price theory and information transfer theory are included in the analysis frame of the whole paper,at the same time,the micro mec hanism and statistical rules of the relationship between Treasury bond futures and spot price are expounded.Second,the paper studies the impact of Treasury bond futures on the spot market.Using GARCH and GJR model to estimate 5 minutes and daily data of Treasury ETF,the empirical results show that the spot market volatility has decreased after the introduction of Treasury bond futures.Use entropy method,the results show that the introduction of 5-years Treasury bond futures improves the efficiency of i nformation dissemination in the spot market,which lays the foundation for further research on the size and direction of the futures market.Third,the paper analyzes the contribution degree of Treasury bond futures and spot market to price discovery.The article did Granger test by the high-frequency data and used the I-S model and the P-T model to calculate the contribution degree.The results show that the Treasury bond futures price is Granger cause of the spot price,the price discovery function of Treasury bond futures market is stronger than the spot market and the degree of contribution to the price discovery dominated.Fourth,the paper explores the direction of volatility transmission between Treasury bond futures and spot prices.BEKK-GARCH and other model test results show that there is a cointegration relationship between the Treasury bond futures and the spot market and volatility clustering phenomenon,but the Treasury bond futures fluctuations on the spot market has greater impact.This paper uses real transaction data to study and further enriches the research on the relationship between China's Treasury bond futures and spot price,which plays an important role in safeguarding the development and prosperity of China's Treasury bond futures market.It is of great significance for regulators to formulate supervisory policies,It is also instructive to carry out the hedging of the spot futures period.With the continuous improvement of China's Treasury bond futures market,the future c an use the higher frequency data to explore the bond between the deep-term relationship between the spot and Treasury bond futures market and the microstructure of the Treasury bond futures market.