Price Discovery and Volatility Spillover Effect in Treasury Bond Futures and Spot Markets: Evidence from China

2018 International Conference on Advanced Electronic Materials, Computers and Materials Engineering

材料科学;无线电电子学;计算机科学

Tang, Dengli^1 ; Yang, Yuanhua^2 ; Yu, Yongrui^3

School of Business Administration, Guangdong University of Finance and Economics, Guangzhou

510320, China^1

School of Public Management, Guangdong University of Finance and Economics, Guangzhou, China^2

Shenzhen Graduate School, Harbin Institute of Technology, Shenzhen

518055, China^3

关键词: Estimation results;    Futures trading;    High frequency data;    ON dynamics;    Price discovery;    Spot market;    Treasury bonds;    Volatility spillovers;   

Others  :  https://iopscience.iop.org/article/10.1088/1757-899X/439/3/032056/pdf
DOI  :  10.1088/1757-899X/439/3/032056

来源: IOP

【 摘 要 】

There is an increasing attention on dynamic relationship between treasury bond futures and spot markets in China. This study investigates price discovery and volatility spillover effect for treasury bond futures and spot markets in China by using 5 minutes high frequency data after China 5-year treasury bond futures trading. The estimation results suggest that, treasury bond futures plays an important role in price discovery function. Then, the results further confirm that treasury bond futures and spot markets exist volatility cluster. Meanwhile, we also find that the volatility spillover effect of treasury bond futures market to spot market is stronger than spot market to treasury bond futures market.