China National Debt Futures Price Discovery Function Of Empirical Research

Bond futures as an important interest rate futures,which is one of the most dynamic financial derivatives.Our country in the 1990 s tried to launch national debt futures trading,and imperfect but due to market conditions,factors such as interest rate marketization is not perfect enough.With China's sustained economic growth,financial system is increasingly perfect,China financial futures exchange on September 6,2013,March 20,2015,has launched a five-year,yields on ten-year Treasury bonds futures,which will be conducive to the advancement of marketization of interest rate in our country,at the same time can promote national debt is issued smoothly,enhance the liquidity of the market,eliminate excessive administrative intervention,prompting the development of our country's economy will be able to better and faster.Government bond futures run smoothly closely related to the basic function of it,in general,is the most main function of the futures market price discovery function,national debt futures as an important financial derivative,is no exception.Due to the relatively small size of the Treasury on the spot market,low activity of spot and futures market trading system is imperfect in the futures market price discovery function of role play is different,so far,China's national debt futures whether its role in price discovery and the national debt how to impact on the spot market,this is exactly what we need to research and explore problems.In the study of price discovery,this article systematically combed the Treasury futures related theory,and from the leading relationship and market price contribution strength two aspects to our country national debt futures price discovery function has carried on the empirical analysis.In view of this,this article USES the real transaction data of five-year bonds futures price discovery function in China to conduct a comprehensive system of research.Results show that the ability of China's national debt futures market has price discovery,and learn from IS model of national debt nearly far month contracts the contribution of the futures market IS far more than Treasury on the spot market.