The Influence Of Treasury Futures On Spot Market

The outbreak of the "327" national debtin 1995,caused the bond futures market to be closed urgently.However,the demand for instruments of the managinginterest rate risk after the development of the bond market is becoming increasingly urgent.CICC restarted the trading of treasury futures in 2013.The average daily turnover of 5-year treasury bonds was ?7.53 billion,and the average daily turnover of 10-year contracts was ?31.04 billion in 2017.However,the controversy over the restart was uninterrupted.What changes will it bring to the spot market after the restart?There need more comprehensive and detailed research.This paper studies the effect of bond futures on the spot market,and divides the impact of bond futures on the spot market into two levels:price guidance and volatility.Based on the theoretical analysis and market development,the paper proposes that the bond futures lead the spot price(H1),Reduce the volatility of the spot market(H2),Improve the efficiency of the market information bond(H3),then we establish VEC and GARCH and other classic models one by one to test the above hypothesis.The empirical results show that the bond futures lead the spot price,and the 10-year bond futures and spot prices have a stable equilibrium relationship;the bond futures reduce the spot market volatility,and the 10-year bond futures have a more pronounced effect on the declining of volatility.The asymmetric effect of the spot market has gone through the process of from big to small.Before the listing of the national debt futures market,the asymmetry effect of the market was not significant.After the listing of 5-year treasury bonds,the spot market began to show asymmetry effect,while the listing of 10-year Treasury futures significantly reduced the asymmetric effect and thus enhanced the efficiency of information response.The conclusion of this paper shows that the expansion of the national debt futures and their trading varieties is conducive to the development of the spot market.With the listing of the national debt futures,the spot market becomes more and more efficient.The national debt futures not only can guide the spot price and reduce the fluctuation of the spot market Rate,but also can improve the efficiency of market information.Currently,CICC is devoted to the listing of 2-year bond futures.The research conclusion of this article strongly supports the rationality of this policy.In the future,with the listing of 2-year treasury bonds,China's bond market will develop rapidly.