Research On The Influence Of Treasury Bond Futures On Spot Price Based On High Frequency Data

Treasury bond futures’ trading was officially restarted on September 6, 2013, which had vital significance on perfecting our financial markets and improving the Treasury yield curve, as well as promoting the development of Treasury spot market. Now Treasury bond futures have operated for two years, whether the various functions of Treasury bond futures have played or not remains to be examined. In view of this, this thesis conducts research mainly from the influence of Treasury bond futures on spot price in order to analyze whether China’s Treasury bond futures can lead spot price and ease the spot market volatility, which can reveal the operational characteristics and promote healthy development of Treasury bond futures market.Based on plenty of research literature, this thesis divides the Treasury bonds futures’ impact on spot price into two levels to study, which are lead relationship and volatility impact. Considering that the theory foundation of Treasury bond futures is weak, so this article firstly analyzes the Treasury bond futures’ operation condition and basic functions, as well as its influence on spot price. In empirical test part, five minutes high-frequency data of Treasury bond futures and ETF are used. Through the Granger causality test and VECM model, lead relationship between Treasury bond futures and spot price is confirmed. On the basis of the VECM model, the thesis innovatively introduces PT model to analyze the contribution of Treasury bond futures market and spot market to the formation process of dynamic equilibrium price. When researching on the effect of Treasury bond futures market to spot volatility, this thesis combines the realized volatility nonparametric method and the EGARCH model parameter method. Two methods verify mutually to make the results more convincing.The empirical results show that China’s Treasury bond futures price can guide the spot market price and the contribution of Treasury bond futures market to dynamic equilibrium price formation process is greater than spot market’s. This means Treasury bond futures market runs effectively. But in the short term, Treasury bond futures add spot market volatility. The stability function for the spot market still needs further development and improvement of the Treasury bond futures market.