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An Empirical Analysis Of The Impact Of Treasury Bonds On The Liquidity Of Treasury Bond Market

Posted on:2015-05-13Degree:MasterType:Thesis
Country:ChinaCandidate:Y D KanFull Text:PDF
GTID:2279330464463322Subject:Financial
Abstract/Summary:PDF Full Text Request
Since the 1970s,investors all around the world are face more severe interest rate risks with the changing international economics and political situation than before.The treasury bond futures was invented under this circumstances,which is a standardized financial futures contract that takes the treasury bond as the underlying good. The most important functions of treasury bond futures are helping investors to manage interest rate risks, promoting the price discovery of the spot treasury market and improving the liquidity of the spot market.The world’s first treasury bond futures contract was born in Chicago Board of Trade in 1975.After that the treasury bond futures developed rapidly so it they became the main varieties in the USA futures market. Other developed countries learned from American experience began the treasury bond futures trading.Many developing countries start trying the treasury bond futures trading recent years.The government of China began the treasury bond futures trading in 1992.However,due to the underdevelopmentof treasury spot market and the imperfection of supervision mechanisms, some vicious events happened-which caused bad influence on financial markets. Finally the China securities Regulatory Commission stopped the treasury bond futures trading in 1995. Nowadays, the bond market of China is developing rapidly and the economic circumstances becomes better than the 1990s, also the marketization of interest rate is promoted constantly. There is a chance to put the t-bond futures back to China. The China Financial Futures Exchange launched the new designed treasury bond futures contract on Sep 6,2013.Liquidity is an important index to a security market.This paper focused on the influence that the new treasury bond futures impacts the treasury spot market.The second chapter introduced the content of the new treasurybond futures contract and analyzed the conversion factors and the Cheapest-to-delivery. Chapter three introduced the definition of liquidity and classical measure and described the liquidity of treasury market of China in three aspects. At the end of this chapter the author analyzed the reason why t-bond futures can impact the treasury spot market. In the chapter four, the author chose two sets of data of treasury spot market and established a GARCH model to analyze the data. The author made the preliminary conclusion that the t-bond futures made considerable influence to the liquidity of hooked deliverable treasury bonds and made little influence on the liquidity of spot market. In chapter five the author summarized the conclusion of the full paper and made some suggestions.
Keywords/Search Tags:treasury bond futures, treasury bond market, liquidity, GARCH
PDF Full Text Request
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