Research Of The Impact Of Treasury Bond Futures On The Market Quality Of Treasury Spot

China Financial Futures Exchange announced the resumption of treasury bond futures market on September 6th,2013 and launched 5 year bond futures contract,which marks the treasury bond futures market have returned to the stage of history of China's financial market since it was shut down in 1995.As a market of risk aversion for treasury spot market,the restart of the treasury bond market in China whether have an impact on treasury spot market and what the degree of influence need to be explored.This article will focus on the fact of the impact of treasury bond futures on the market quality of spot and carry out study in-depth as the basis of two times model of inventory model,using case study method to set three sample interval,constructing the simultaneous equation model which reflect the internal relations between quality of market liquidity and volatility.Then the article will compare the liquidity and volatility of market quality in different stages since the restart of the treasury bond futures market.In addition,in order to enhance the rationality of the model theory,the article also use the Granger causality to analyze the relationship of treasury bond futures price and spot price.Finally,according to the relevant conclusions,the article will put forward some policy suggestions to improve the bond market quality.The empirical results show that,on the one hand,the relationship between market liquidity and volatility is interdependent and interactive.In different periods,these indicators have different internal relations.Effective spread and volatility have a positive relationship with each other.Increasing the effective spread will make trading volume of the market reduce,but increasing volatility will increase the trading volume of the market.The trading volume has an uncertainty impact on the effective spread and volatility.On the other hand,the restart of the treasury bond futures market have different impact on treasury spot market quality in different periods.Under the premise of relevant factors controlled,effective spread and the trading volume have been decreased in treasury spot market,but volatility has been increased at the beginning of the restart of treasury bond futures market.The market quality of treasury spot has been poor;The liquidity of the treasury spot market has been improved,which effective spread in treasury spot market has been further decreased and the trading volume has turned to be increased after two years of the restart of treasury bond futures market,but the volatility has been further increased.In total,the quality of treasury spot market has been improved after the resumption of China's treasury bond futures market.In addition,the treasury bond futures prices have a one-way effect on the price of treasury spot.In order to make full of the effects of treasury bond futures to improve spot market quality,supervisory authority should improve the structure of investor;strengthen market transparency;improve the structure of product and term structure in the treasury bond futures and spot market;perfect for the market mechanism.