An Empirical Research On China's Treasury Bond Futures

Treasury bond futures,as the pioneer of China's financial futures,experienced two important stages.The first stage was the pilot phase(1992-1995),which ended in failure as a result of illegal manipulation("327""319").The second stage is the restart phase(since 2013).In 2015,given the successful listing experience of 5-year Treasury bond futures,China's 10-year Treasury bond futures has been launched to correspond to long-term spot bonds,which improved and perfected variety of China's Treasury bond futress.As one of the important interest rate derivatives tools,the 5-year Treasury bond futures have operated for nearly five years.10-year Treasury bonds have been operated for three years.Whether the two-term Treasury bond futures have played a role in the price discovery process?What is the relationship between Treasury bond futures and spot?Whose information share is higher in the market?In summary,this article has carried out a series of studies around the relationship between the spot price guidance of China's Treasury bond futures.This article consists of five chapters and is divided into four parts.The first part is the introduction to this article;the second part is the theoretical analysis;the third part(the third chapter and the fourth chapter)is the empirical research;the last part is the conclusion and related policy recommendations.In the theoretical analysis part,this paper analyzes the concept,causes and influencing factors of the price discovery function of the Treasury bond futures,and puts forward the assumption that the Treasury bond futures have the price discovery function and the futures guide the spot in the price discovery process In the empirical analysis section,the following three innovations were made in this paper.First,in addition to the 5-year Treasury spot period,this article added the 5-minute high-frequency transaction data of 10-year Treasury spot price series.Second,from the static and dynamic perspectives,this article made a more comprehensive empirical demonstration.Third,this is the first time who use the revised information share model and Quantile Regression to research price discovery function of Treasury bond futures.For the empirical research part,first of all,from the static point of view,this article using ADF unit root test method to verify the stability of the time series;and then use EG two-step method to do a cointegration test on the long-term cointegration relationship between the Treasury bond futures and the Treasury bonds.And then using the Granger causality test and build a VECM model to verify the leading relationship between the two variables.Secondly,from the dynamic point of view,based on the VAR model,this paper introduces the impulse response function;based on the VECM model,a Modified information share model is used to measure the information share of the Treasury bond futures and Government bonds in the price discovery process.Finally,using Quantile Regression to analyze the relationship between Treasury bond futures and Treasury bond during rising and falling period.The research results show that there is a high correlation between the five-year Treasury bond futures and the 10-year Treasury bond futures,and both have price discovery function.Treasury bond futures unilaterally guided Treasury spot stocks and played an important role in the process of price discovery than Treasury bonds.Although the 10-year Treasury bond futures was only listed for three years,its information share in the price discovery process,almost at the same level compared with five years Treasury bonds futures.In addition,compared with the 10-year Treasury bond futures,5-year Treasury bond futures have a stronger effect on 5-year treasury bonds during the market's rising period.On the basis of theoretical and empirical research,this paper proposes three policy recommendations:First,improve the term structure of China's Treasury bond futures,launch short-term,and ultra-long-term futures varieties as soon as possible,gradually realize the full coverage of short-term to ultra-long-term futures varieties and improving China's interest rate risk management ability.Second,adjust and optimize the proportion of participants in the Treasury bond futures market,carefully push China's commercial banks into the Treasury bond futures market,and strengthen education for market participants.At the same time,increase the level of opening to other country to take part in China's Treasury bond futures market and improve the liquidity of the Treasury bond futures.Third,keep in mind historical experiences,and from macro and micro perspective,improve the supervision of the Treasury bond futures market and establish a comprehensive monitoring system for the Treasury bond futures market to improve the operational efficiency of the Treasury bond futures market in China.