Impact Of Treasury Bond Futures Market On The Spot Market

With the sustained and stable growth of China’s economic, the financial system is becoming more and more perfect, more and more voice of restarting the national debt market being heard. In order to promote the process of interest rate marketization, promote faster development of the bond market, improve China’s financial market system, the China Financial Futures Exchange in September 2013 restored five-year treasury bond futures market. After more than two years of developing, China’s treasury bond futures market has entered the formal steel, the total volume of China’s five-year treasury bond futures has 56 million (according to a unilateral volume), the cumulative turnover of has reached 550 billion yuan by end of December 2015. However how is its impact on the spot market? What is the impact of the Treasury bond futures market on the spot market volatility? These issues are worthy of in-depth analysis.This paper selects closing price of the benchmark contract of five-year treasury bond futures on behalf of the Treasury bonds futures market price changes, the closing price of SSE T-bond index stands for market price changes of the debt spot market, the sample interval is 6 September 2013 to December 31 2015, we based on Granger test and vector error correction model (VECM) model. The treasury stock market as the research object, the establishment of variance equations include dummy variables for the ARMA-GARCH model, according to the analysis of the dummy variable coefficient of significant empirical bond futures on the volatility of the stock market influence.Empirical study found:(1) the Granger causality test and vector error correction model show China’s treasury bond futures market price changes leading to the spot market, treasury bond futures market is a one way leading role to spot market;(2) establishing the full sample interval ARMA-GARCH model, dummy variable regression coefficient is significantly different from and less than 0, suggesting that government bond futures market reduce the volatility of the spot market, and the futures market improve the efficiency of absorption information of the spot market, improve the asymmetric effect in stock market.