| Treasury bond futures is a kind of financial futures, which is a kind of interest rate futures, which has a very important role in the development of China's futures market. In February 2012, China's financial market launched a five year bond futures trading simulation, on September 6,2013, China's five year bond futures real trading was re listed in China Financial Futures Exchange officially. In recent years, the futures market of our country has been developing new futures and the futures market is developing rapidly. Relatively speaking, China's bond futures trading started fairly late.From the first attempt to the current development of China's bond futures can be divided into two stages of development:The first phase is from December 1992 to the end of May 1995, which lasted two and a half years, In this period of time, China's bond futures market has experienced a very different development path. In December 1992, China's bond futures first listed on the Shanghai stock exchange, At that time, the Shanghai stock exchange launched the national debt futures contract has 12 varieties, These bonds futures contracts are only open to institutional investors, So then the futures market trading is not active, From December 28,1992 to October 1993, Bond futures market turnover is of only 50 million yuan. Therefore, on October 25,1993, the Shanghai stock exchange revised the bond futures contract, Treasury bond futures market began to open to individual investors. From the beginning of the second quarter of 1994, bond futures market began trading activity, trading volume increased month by month, By the end of 1994, the Shanghai stock exchange's bond futures trading volume has reached 1.9 trillion yuan. As the number of treasury bonds to be delivered is much smaller than the size of the Treasury bond futures market, Therefore, the bond futures market speculation atmosphere is more and more strong, In the bond futures market, speculation is at the dominant position, the risk is more and more big. In this way, under the appearance of this booming, many irregularities incidents occurred,For example, in February 1995, The famous "3.27" illegal operation of the event is a very serious blow to the Treasury futures market, seriously disrupting the normal operation of the Treasury bond futures market. To this end, on February 25,1995, China Securities Regulatory Commission and the Ministry of Finance jointly issued the "Interim Measures for the management of treasury bonds futures trading", In order to standardize the bond futures market, the Commission also issued a "Circular on strengthening the bond futures risk control". But this series of consolidation measures did not effectively curb market speculation at mosphere, The phenomenon of insider trading and malicious manipulation in the Treasury bond futures market is still very serious, In May 1995, the subsequent "3.19" vicious incidents occurred again. At May 17,1995 afternoon, the Commission issued a notice to suspend the trading of treasury bonds in the country, China's national debt futures trading for the first time attempt ended in failure. The second stage is from September 6,2013 to the present, After a multiple argument and after the 2012 simulation transactions, after 18 years,Bond futures traded again. Merton. Professor Miller once said:"The charm of the futures market is to make you really understand the price", However, China's bond futures market to run to the present, the market operation is effective? Whether the Bond futures played its price discovery function? These questions need us to pay attention to and explore. Understanding the price discovery function of government bond futures market is conducive to the market participants to grasp the market rules, It will provide the basis for government authorities according to the bond futures market and treasury stock market to carry out macroeconomic regulation and control.In order to better understand the current state of China's treasury bond futures market is operating effectively, In this paper, on the basis of summarizing the existing literature and theory, The author used the relevant econometric methods and econometric models to study the time series data of the futures price and the spot price for two years since the re-listing of Chinese treasury bond futures. Through the empirical analysis, it is found that the operation of the Treasury bond futures market in our country is effective, Treasury bond futures market is very good to play the futures price discovery function, The price of China's treasury bond futures market has the function of finding and predicting the price of the spot market.This article is divided into six chapters, the first chapter is the introduction, mainly introduces the research background, research significance, literature review and the characteristics and deficiencies of this paper; The second chapter is introduces the related theory of the Treasury bonds futures, This chapter introduces the definition and classification of futures?Origin of treasury bond futures?The development history of China's national debt futures and the re listing of China's treasury bond futures, And review the famous "3.27" event in the history of China's treasury bond futures, It briefly explains the reason why China's treasury bond futures failed in the first attempt, which provides the experience and lessons for the re listing of China's treasury bonds; The third chapter introduces the related theories of the price discovery of the Treasury bond futures, expounds the meaning of price discovery?the relationship between market micro structure and price discovery function, And introduced the related factors that affect the price of Bond futures and spot of national debt, At the end of the term, the relationship between the term "lead-lag" is also introduced; The fourth chapter introduces the measurement methods and models used in the empirical part of this paper, Including ADF stationary test, Vector auto regressive model, E-G two step method error correction model, Granger causality test, impulse response function and variance decomposition, It provides a method and basis for the following empirical analysis; The fifth part of this paper is the empirical part,in this part, we take the time series data of price and spot market price of China's five year treasury bond futures market as the research sample, Study a total of 565 sample data on China's treasury bond futures which listed since September 6,2013 to December 31,2015 for more than two years, Treasury bond futures market data selects the current main contract data bonds futures, The selection of treasury stock market data is the bidding index of 5 year treasury bonds, And do a logarithmic treatment to the relevant data, Finally, the conclusion is that the government bond futures market has stronger price discovery function than the spot market. The sixth chapter is the conclusion of the empirical analysis of this paper and related policy recommendations.In this paper, the empirical results of the research on the price discovery function of China's treasury bond futures are summarized as follows:First, the price of China's treasury bond futures market and the price of China's national debt market has a high degree of correlation, In this paper, through the graphical observation and co integration test, shows that China's bond futures market prices and bond prices on the spot market has a long-term stable equilibrium relationship; Two, the price of Chinese treasury bond futures market is the reason of the spot market price of Chinese national debt, The price of Chinese treasury bond futures market has the function of "lead-lag" to the spot market price of Chinese national debt, In this paper, we find that the price of treasury bond futures market is the reason of the price of treasury bond market through the Grainger causality test, The spot market price of treasury bonds is not the reason for the price of treasury bond futures market, The price of Chinese treasury bond futures market has a one-way guide to the price of Chinese national debt market. In this paper, through the analysis of error correction model?impulse response function and variance decomposition method, the conclusion is drawn, The change of the price of Chinese treasury bond futures market has an important influence on the change of the price of the spot market in China.One of the characteristics of this paper is that, At present, China's national debt futures re listed for more than two years time, The scholars have studied the price discovery function of stock index futures market in our country, But the research on the price discovery function of Chinese treasury bond futures market is still relatively small, And the data of the research on the price discovery function of China's treasury bond futures market is the data of the simulation transaction? Or the data of treasury futures market for less than a year,Most of their research concluded that there is no price discovery function in Chinese treasury bond futures market, Or the spot market price of the national debt of our country has a stronger price discovery function than the price of the futures market. The research point of this paper is the time of re listing of China's treasury bond futures market for more than two years, Treasury bond futures market is more mature, sample data is more adequate than the above scholars, this paper draws a conclusion which is different from them. In this paper, we get the conclusion that Government bond futures market has a stronger price discovery function.The deficiency of this paper is, Due to the limitation of time and availability of data, this paper does not use high frequency data to study the efficiency of futures price discovery, but the 565 day trading data, Selected the daily closing price of the futures market and the spot market for sample data, Data samples are relatively thin, At the same time, due to the limited level of the author, This paper does not analyze the deep reason of the price discovery function of Chinese treasury bond futures market. |
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