An Empirical Research On The Function Of China's Treasury Bond Futures

China Financial Futures Exchange launched 5-year treasury bond futures contract at September 6th 2013;Because the 5-year treasury bond futures run well for more than a year,10-year Treasury bond futures contract was issued at March 20th2015.At present,10-year and 5-year treasury bond futures develop together,trading volume and the positions are being greatly improved.In general,it has significant influence on building multi-level capital market,promoting market-oriented interest rate reform and developing financial derivatives market.But China's treasury bond futures run for a short time,its function remains to be investigated.At first,this paper selects the closing price of 5-year and 10-year Treasury bonds futures as well as the spot price of corresponding underlying asset from January 4th2016 to December 9th 2016.Testing whether China's treasury bond future market has played an impotent role in price discovery by using granger causality test and vector error correction model.Concluded that China's Treasury bond futures market has done well and played a dominant role in price discovery.The 5-year Treasury bond futures have higher sensitivity to the market changes.Compared with the 10-year futures,5-year futures play more important role in price discovery.Then,Doing an empirical research on the impact of bond market volatility after appearance of 10-year treasury bond futures at March 20 th,2015.