Empirical Study On The Operational Efficiency Of The National Debt Futures Market

After closing for 18 years,Treasury Bond Futures Market in China has reopened in 2013.Treasury Bond Futures Market is one of the most important method in interest risk aversion,so the efficiency of the Treasury Bond Futures Market has received concern.To research in this topic,this article aims to take research in the efficiency of China's Treasury Bond Futures Market.For the first part,this paper reviews the previous theory on market efficiency.Secondly,this article is going to choose appropriate methods in market efficiency tests.Thirdly,the empirical tests of the market efficiency of Treasury Bond Futures Market in China.Fourthly,based on the problems shows in the tests,this article will give some suggestions for improving the market efficiency.This paper divided the efficiency research into two parts:the information efficiency and the function efficiency.The information efficiency comes from the EMH theory,which argues that the information efficiency depends on the efficiency that price reflect the history information.For the function efficiency,it contains three parts:price discovery,speculative arbitrage and the hedging.This paper will take empirical tests on the information efficiency and function efficiency in Treasury Bond Futures Market.To examine the information efficiency,this research uses ADF test,autocorrelation test,run test and variance ratio test,based on the results,we can conclude that Treasury bond futures market in China has reached the weak efficiency.Then we estimate the function efficiency of the Treasury Bond Futures Market by Granger causality test,error correction model and optimal hedge ratio.The results reveals that 10-year treasury bond futures market has higher efficiency than 5-year treasury bond futures market,but both of them are not able to reach the function efficiency.Based on the tests and the practical situation of the market,there are several reasons that cause the inefficiency of the market:less connected with spot market,unreasonable proportion of investors,less varieties of futures' type and low liquidity.Treasury Bond Futures Market has high potential but still has long way to go.