Empirical Study On The Price Discovery Function Of China’s Ten-Year Treasury Future

Treasury futures as a financial derivative,it first produced in the 1970 s of the United States,was mainly to avoid interest rate risk.In contrast,China’s treasury futures development is relatively slow.In1992 China’s firstly launched the treasury futures,but because of the "327 incident" and a series of violations occurred,seriously disrupted the normal order of the market,treasury futures transactions were suspended by the SFC.With the gradual improvement of the financial system,the China Financial Futures Exchange in September 2013 first restored the five-year bond futures market and launched the ten-year Treasury futures in March 2015,after three years of development,the bond futures market gradually on track,what is impact on the spot market? Does treasury futures lead the Spot Price at the Price Level? These questions are worth studying.In this paper,a large number of academic literature has been studied,and it is found that the research on the price discovery of China’s treasury futures market is mainly based on the sample of five year bond futures.But in recent years,due to the ten year bond futures trading is active,the paper innovatively choose the closing price of the ten-year Treasury bond futures to represent the change of the national futures market,the closing price of China Bond Aggregate Index Full Price Index(7-10years)represents the price changes in the spot market of treasury bonds.The sample interval is selected from March20,2015-March20 2017,Using the Grainger causality test,cointegration test and other econometric models,empirical study on the price discovery function of treasury futures.The results show that: firstly,the price of treasury futures market is the Granger reason of the price of the spot market.When the short-term fluctuation of the treasury futures price deviates from the equilibrium state,the error correction item will make the bond price adjustment speed to-1.28% reverse adjustment to the equilibrium state.Secondly,whether it is the treasury bond futures or spot,the price of its own market in the lag phase of the most significant impact on the price,followed by the lag of two,the price of three.Thirdly,when the lag order is between 1 and 10,the average variance of the volatility of the spot market price of China’s national treasury bonds with an average of 60% is affected by the pre-price futures of the treasury futures.The price of the national debt futures plays a leading role in the price impact mechanism.