Theory And Empirical Study On Price Discovery Function Of China Bond Futures

On September6,2013, our country’s bond futures came into the market again, it is a very significant event in the capital and futures market. In recent years, the futures market has developed rapidly in our country, in2013, many futures varieties were born, including coking coal futures, bond futures, steam coal futures, asphalt futures and iron ore futures. In other words, the futures market presents a picture of a thriving scene.In1992, our country had been the first attempt to develop bond futures, but "327event" happened afterwards directly led to the failure of China’s bond futures, the main causes are the imperfect treasury spot market development and the unreasonable contract design.Five-year bond futures contract is the second finance futures after the stock index futures, as new varieties of futures, its success can’t leave the price discovery function of futures. We should actively focus on the correlation of the spot market and futures market, understand the bond futures prices’leading relationship for Treasury spot prices. It is helpful for investors to grasp the market rules, also it is advantageous to the treasury futures market. It provides gist for the government macroeconomic regulation and control.At present, there are lots of articles researching the price discovery function of futures market, especially the commodity futures market. Stock index futures was introduced in2010, the research of the stock index futures’ price discovery function is very active.Bond futures in our country has just listed, it belongs to the new things for the majority of investors. Compared with30years of development experience abroad, the development of bond futures market in our country is still in its initial stage of exploration. There are few articles to study the bond futures of our country. On the above reasons, this article first introduces the related theory of bonds futures, especially some special concepts of national debt futures, such as conversion factor, implied repo rate, the cheapest delivery tickets, etc. Secondly we introduce the bond futures price discovery function of related theory, such as holding cost model. Finally combining the empirical results, using VAR model proves that the bond futures market and spot market in China has high degree of correlation. Finally, according to the current situation of the spot and futures market, the article puts forward some policy suggestions about promoting the price discovery function of bond futures.