A Study On Treasury Futures Margin And Price Limits Set

Current vigorous innovation in the bond market which serving the entity economic development is an important measure in the stage of economic transformation in China. Overall, due to factors such as market segmentation, trading patterns, liquidity problem become the bottleneck for the further development of the bond market and bond pricing efficiency and rationality remains to be strengthened. In addition with the international economic and financial environment, and the development of domestic economy changes, interest rate marketization in China has gradually deepening and interest rate risk is increasing. Under the new situation, the market investors’demand of hedging with bond futures, increases the strong demand of manage interest rate risk. Regulatory system is basically sound, in addition, the futures market risk regulatory ability is greatly increased, the continuous development of institutional investors and experience in the stock index futures, provides guarantees to restore bond futures trading. As an innovative financial derivatives, the bond futures was born in the70’s and gradually popularized in the global capital markets. As the main basis of futures market to design the risk control playing an important influence on price volatility and risk-control mechanism can affect pricing volatility. So the volatility must be considered. Stop system and margin system are the most important aspects in risk-control, so the study of these two systems is necessary.Compared with general financial futures, bond futures’specialization is strong, and is still in the phase of the simulation experiments. So research on relevant simulation trading does not like stock index futures which is mature. As a result, a lot of risk control on the terms set and the futures price running characteristics need further analysis. This paper uses the method of combining theory with practice, and pays attention to the qualitative analysis on the new launch of the bond futures volatility characteristics and the risk control system etc. First, this paper use the GARCH model to depict the simulation price volatility characteristics, and the corresponding risk on the basis of the estimated value, and compared them with the current margin level. Second, this paper obtains different situation under different stopping level through the POT model. Finally, this paper indroduces the dummy variable in the GARCH model to see if there is a delay in price discovery or a spillover in volatility.Empirical analysis results show that there is volatility clustering in the simulation of the futures price. And the reflection of the price to the market shock is not asymmetric.In the aspect of risk control, bond futures contracts margin setting can effectively cover risk loss, but far more than the model’s estimation, which may increase the transaction cost of market investors. Due to the different characteristics, compared with commodity futures and stock index futures, the volatility of bond futures is very small, for example,3%is on the high side. Compared with2%of the rise and fall stop setting, this article’s estimation is smaller based on the theory of extreme value. This shows that compared with the exchange’s attitude to risk control, the exchange, also consider the direction of the bond futures’policy and instruction, and also, adapting to the spot market at the same time. In hypothesis testing delay from the prices found, we can find that under the assumption of2%,1%or even lower abnormal fluctuation rate, the limit does not produce delay in price discovery and spillover in volatility effect, so the current setting of the stop system does not bring negative influence on the market.Traditionally the provision of national debt futures risk-control mechanism research mainly forcus on the perspective of qualitative, empirical research is less. In general, the innovation of this article lies mainly in the following aspects:first, in view of the bond futures simulated trading history data this article has exercised the statistical test and volatility model and the corresponding value at risk is established. Secondly, using the extreme value theory method, the horizontal distribution under different assumptions or stop is obtained. Finally based on GARCH model, by introducing dummy variables, this article examines the pros and cons of the two kinds of hypothesis about the stop system.