Empirical Research On The Price Discovery Function Of Treasury Bond Futures Market Under The Condition Of Interest Rate Liberalization

With the fast development of society, the reform of financial system constantly goes deeper, and the interest rate liberalization is being accelerated. Compared with the past, under the requirements of interest rate liberalization, the financial institutions have been given the control rights. They can adjust the level of interest rate according to their financial situations and the judgment of trends in financial market instead of the control of government. According to the different interest rates, financial institutions can effectively improve the level of financial service, reduce corporate financial costs, and support the development of the real economy better. But there are also negative factors, it will increase the pressure on banks, fluctuation risk of the interest rate will be greatly increased. If there is not a tool to avoid interest rate risk, it will be obstacle for the development of market. Treasury rate is an important part of interest rate system, so the Treasury bond futures becomes the tool for this.As a kind of interest rate futures, bond futures has a unspeakable meaning for treasury bonds spot as well as the benchmark interest rate. On the one hand, futures price represents the future spot price, and provides a reference for the treasury spot price, but also helps market investors avoid risks and develop a reasonable investment strategy. On the other hand, Treasury bond futures trading can also promote the interest rate of treasury bonds to be an important reference standard in interest rate system, and promote the development of Chinese interest rate liberalization. In promoting the process of interest rate liberalization, in theory, although the Treasury bond futures is the necessary tool to solve the risk of fluctuations in interest rate and to determine the benchmark interest rate, and theory fields had a large number of feasible researches on Treasury bond futures listing, but the financial situation is complicated and changeable, the theory and the reality exists gap more or less. In particularly, Chinese financial institutions have not paid special attention to interest rate risk management, and have been lack of relevant awareness and tools for a long time. So the study on the function of price discovery of Treasury bond futures that is under the condition of interest rate liberalization has theoretical value and practical significance.However, the development of Chinese Treasury bond futures is not very smooth. Chinese Treasury bond futures began in 1992, after experiencing market disruption and blind speculation, bond futures were forced to stop, until 2013, it returned to the market. After more than two years development, Treasury bond futures is now having volume, but whether the bond futures can play the discovery function of price, whether the spot market forms interactive, whether interest rate liberalization can play its function, this paper aims to answer above questions through empirical research, and tries to give a reasonable solution.Spot yield of treasury bonds is formed through market transactions, which can fully reflect the market supply and demand situation, and there is nearly no interest rate risk, so in the developed countries in Europe and the United States, Treasury yield rate is the interest rate anchor of capital market pricing. This is the association between interest rates and treasury bonds spot, and according to the basic theory, futures is the spot price in future. Through the interactive relationship between futures and spot, we can find spot price is the interest rate price. This article is based on this thought, through the analysis of the re-listed transaction data after Chinese treasury bond futures, study on the function of price discovery of treasury bond futures, discussion on direct interaction of treasury bonds spot and futures, to link the futures, spot and interest rates and explore the relationship between the marketization of interest rate and bond futures further. On the basis of combing related research literature of the marketization of interest rate and bond futures, this paper has used both the theories, followed the research thought:analysis of the status quo-construction model-empirical test, has analyzed relevant content of price discovery of Treasury bond futures in a background of interest rate liberalization and obtained it exists high correlation between our national debt spot and futures market, and it will maintain long-term equilibrium; between futures and spot,it exists the price guide, but the function of spot is not obvious; treasury bond futures plays a role in price guide very well; in China, treasury bond futures and interest rate liberalization promote mutually and develop commonly. Finally, according to the analysis results, this paper will put forward reasonable suggestions:perfecting the system of Treasury bond futures to form investment construction diversification; increasing interaction between futures market and spot market to establish a unified and perfect supervision system; complying the process of interest rate liberalization to develop mutually with it.Interest rate liberalization is one of the most popular topics, but it is also a strategy of national economy at the same time. Domestic scholars have carried out extensive research on the theoretical issues, and achieved a lot of research results, but most of them are separated as an individual research object, and the study on the relationship between those has been a little. This paper can enrich relevant theoretical research to some extent in China.