| Bond futures is not a new variety of futures market in China. As early as in December 1992, the Shanghai futures exchange had let go of the national bond futures trading, but due to the market was not mature and the system design defects, China’s bond futures trading pilot failed, and suspended on May 17 in 1995. After 18 years, with the development of our economy, bond futures officially listed in the China financial futures exchange on September 6,2013. The restart of bond futures will make an enormous implications to our country bond on the spot market, this paper studies respectively from price levels and volatility influence, analize whether China’s bond futures have price discovery function, guide the spot market price movements; whether the Bond futures can bring down the price volatility on spot market.In this paper, on the basis of predecessors’research, combined with the related theory of literature, we use bond futures index, spot index for empirical data, and Eviews8.0 application software, to made the empirical analysis. Through the ADF test. Granger causality test and cointegration test, we establish the the VAR model about bond futures index and spot index, what’more, we analysis both prices lead and lag relationship and long-term equilibrium relationship with the impulse response function and variance decomposition; By the family of GARCH model, we analize the relationship between bond futures restart and spot market volatility. Results show that at present stage our bond futures has initially revealed the price guide function, as well as the national debt futures increased the spot market volatility.Based on the above conclusions, combined with bond futures market status after the restart, this paper deeply analyzes the causes of the results and the probable improved direction, in addition we forecast the future of bond futures. |
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