A Study Of Risk Spillover Effect Between China's Treasury Bond Futures Market And Stock Market Rate Of Return

China's treasury bond futures have attracted much attention since they reopened.Besides investing in stock market,some investors have new investment options.Whether investors can take advantage of the linkage effect of treasury bond futures,stock market and treasury bond market to build portfolios and reduce investment risks is also a concern for investors.In the developed financial market,many scholars found the relationship between the Treasury bond futures market and the Treasury bond market,the Treasury bond market and the stock market.In the direct study of the Treasury bond futures market and the stock market,the spillover effects of price linkage and information fluctuation can also be found.In view of this,this paper tries to identify the relationship between national debt futures and the stock market,and further explain whether the use of the relationship can be used to reduce investment risk so as to provide investment advice for investors.At first,the paper expounds the basic theory of treasury bond futures and its practice in China,and then analyzes the theoretical analysis of the relevance of the Treasury bond futures and the stock market,and the decentralized investment of the Treasury bond futures.Then,in the empirical test,the model of vector autoregression and Grainger causality test is used,and the data of five year Treasury futures and the ten year treasury bond futures are taken irespectively as the observation objects,and the Shanghai stock index and the Shanghai stock bond index are selected as the research samples.The empirical results show that the correlation between objects is relatively weak,which indicates that it is difficult to diversify investment risk through bond portfolios and stock market portfolios.Considering the imperfect external factors such as the domestic market conditions,the transmission mechanism between the Treasury bond futures,the national debt and the stock market is not smooth.It is still necessary to further reform the market and promote the development of the financial market.Finally,based on the results,the paper analyzes the reasons,and puts forward several suggestions on dispersing the risk of investors and improving the effectiveness of financial market.