The Effeciency Research Of China’s T-bond Futures Market

Treasury Bond Futures Market in China has been opened more than a year. Peopleare very concerned about the operation status of The reopening Treasury Bond FuturesMarket in China, When through a failure of China’s Treasury Bond Futures Marketseveral years ago. Therefore, aiming at the problem, this article will conduct acomprehensive study on the effectiveness of China’s Treasury Bond Futures Market.Firstly, this paper reviews on the theory, the contents, and the empirical methods ofeffectiveness of the market. Secondly, this article carries on the limits to theeffectiveness of Treasury Bond Futures Market in China, and to determine the methodsof market effectiveness test. Thirdly, is the empirical testing of the effectiveness ofChina’s Treasury Bond Futures Market. Fourthly, according to the test results, puttingforward the influencing factors affect the validity of the Treasury Bond Futures Marketin China, and then puts forward some suggestions to improve the effectiveness ofChina’s treasury bond futures market.This paper argues that the research on the validity of futures market should includetwo aspects: the functional effectiveness and informational effectiveness of futuresmarket.In this paper, the effectiveness of information is a different way of expression ofEMH, so the informational effectiveness of futures market shows that the capacity ofinformation reflect on futures prices. As everyone knows, the futures market has pricediscovery function, peculative arbitrage function and the hedging function,so theresearch on functional effectiveness of futures market is the efficiency of thesefunctions in futures market operationing.This paper makes an empirical test on theeffectiveness of function and information of the Treasury bond Futures Market in China.In the information validity test in his paper uses the unit root test, autocorrelation test,run test and variance ratio test,the empirical results of these methods shows thatTreasury bond futures market in China has reached the weak form of efficientmarket.Then according to the theory of cointegration using Granger causality method,error correction model and other methods to test the functional effectiveness of China’streasury bond futures market, the test results show that treasury bond futures market of China does not have the functional effectiveness.Through the analysis of the operation and the external institutional environment,ofChina’s treasury bonds futures market, this paper finds that the reasons affectingtreasury bond futures market validity are the scarcity of trading varieties, lack ofturnover, unreasonable investor structure, and China is still not fully realize themarketization of interest rate.