| September 6th 2013, China Financial Futures Exchange launched China’s 5-Year Government bond futures, which shows that China steps further in its financial market’s reformation. The launch of Government bond futures has great significance to the development of China’s treasury yield curve and interest rate liberalization, as well as the improvement of China’s government bond market. Government bond futures can help investors hedge their assets, and effectively control interest rate risk. The prerequisite of the effect is that Government bond futures have the function of price discovery.This paper tries to answer the following questions:Does U. S.5-Year Government bond futures lead U. S.5-Year Government bond? Does china’s 5-Year Government bond futures lead China’s 5-Year Government bond? Why does the difference exist? What can we do to improve the China’s Government bond market?In order to answer these questions, this paper talks about the different history and present situation of U.S. Government bond futures market and China’s Government bond futures market. In terms of futures and spot price relationship, this paper carries out VAR model, and carefully analyzes the closing price data from September,2013 to February,2014. Finally, it gets following final conclusions:(1)The U. S. 5-Year Government bond futures lead U. S.5-Year Government bond spot and play the main role of price discovery in U. S. capital market. (2) China’s 5-Year Government bond plays the core role of price discovery in China’s capital market. (3)Reasons for the difference include:China’s Government bond futures market has a short history of only 6 months; there is only one single product in China’s Government bond futures market; trading mechanism is not perfect; China’s Government bond market needs to be improved. (4)We can have improvement in China’s Government bond market, and perfect the future market’s trading system, as well as the supervision system. |
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