The Study On Price Discovery And Hedging Function Of Chinese Ten Year Treasury Bond Futures

Since the five-year treasury bond futures were officially launched in China Financial Futures Exchange in 2013,the ten-year treasury bond futures have also been launched successfully in March 20,2015,which enriches our long-term treasury bond futures contracts.The launch of these two products aims at promoting the common development of Treasury futures and spot market as well as the healthy development of financial market by using the functions of treasury bond futures,such as price discovery and hedging,.According to previous studies on the five-year treasury bond futures,we can find that five-year treasury bond futures do have the function of price discovery and hedging,but the function of ten-year treasury bond futures needs to be investigated because of the late launch of it.This article chose the data of the ten-year treasury bond futures and spot market from March 20,2015 to December 29,2017 as the sample,using the Granger causality test and vector error correction model to determine whether the ten-year treasury bond futures can effectively play the function of price discovery and estimating the hedge ratio through the establishment of establishment of OLS model,B-VAR model,ECM model,GARCH model and ECM-GARCH model,and lastly analyzing the performance of the hedge ratio.The empirical results show that the price of Chinese ten-year treasury bond futures is ahead of the price in spot market,and can effectively display its price discovery function.The comparison of hedging efficiency under different models shows that for the current,the hedge ratio under the simple regression model can achieve better hedging effect.However the performance of Chinese ten-year treasury bond futures hedging ratio is general,it has a long way to improve it.At last,in view of the empirical results,some suggestions are put forward from four aspects: perfecting the product system of the Treasury bond futures,enriching the structure of the investment subject,enhancing the interaction between the futures and the spot market,and establishing a unified and perfect supervision system.