| As the marketing of interest rates, the risk faced by investors is increasing, and the demand of the tool for managing the interest rates are increasing. Under this environment, China has launched T-bond futures again after a lapse of eighteen years. This paper chooses angle of the price and the function of the T-bond futures to analyze the Chinese T-bond futures in different periods, in order to find the rule of the development of Chinese T-bond futures, to find and solve the existing problems in the current process of T-bond futures trading, and also to offer some capital proposals to the investors.This paper study the pilot T-bond futures trading by establishing the pricing model and calculating the theoretical T-bond futures’price with the limited data, then contrasting the theory price to the actual transaction price and finding the rules in it. To analyze the reopened T-bond futures, this paper adopt the empirical analysis method, respectively to do the effectiveness test of the existing price, the Granger Causality test between the futures and spot prices, as well as the regression of the hedging effectiveness.This paper’s main conclusions are as follows. Firstly, the actual transaction price of the pilot T-bond futures are deviated from the theoretical price, there’s a big set of hedging opportunity between the T-bond futures and the spot, and the functions of the T-bond futures can’t work well. Secondly, the current price of the futures has validity, the functions work quite well. However, the low hedging effectiveness cause the hedging function can’t work in the short time. Last but not least, after comparing the two periods of the development of bond futures, we can find that the biggest problem of the current development of bond futures is the low liquidity. To change this situation, we must create a more open and equal environment, and gradually relax the constraints to let the large financial institutions such as the banks to participate in. |
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