中国国债期货与现货市场间的动态价格发现与不对称波动性溢出

Dynamic Price Discovery and Asymmetric Volatility Transmission Between China’s Treasury Bond Futures and Cash Markets

本文旨在分析中国国债期货和其现货之间的动态信息传导关系和不对称波动溢出效应,实证结果发现5年期和10年期国债期货已具有明显的信息优势,且交易更活跃的国债期货品种对现货市场具有更强的价格引导能力,但在市场快速下跌时,市场恐慌情绪驱动期货价格的非理性下跌,削弱期货市场的价格发现和信息传导效率.此外,国债期货与现货市场之间存在着非对称波动性联动关系,国债现货相比国债期货具有更强的波动率溢出效应.期货基差的扩大将加剧国债期货市场的波动性.

This study investigates the price discovery performance and volatility transmission between China’s T-bond futures markets and underlying spot markets reprehensively by a recursive information leadership share model and an asymmetric VECMBEKK-GARCH model.The 5-year and 10-year T-Bond futures markets have been found to play a dominant role in the price discovery process at most of the period.However,when the market falls rapidly,futures market is more likely to overreact to market crush due to the higher leverage and liquidity.Futures prices tend to fall sharply and the futures bases expand simultaneously,which will weaken the efficiency of price discovery and information transmission of the futures market.Moreover,based on the asymmetric ECM-GARCH model,the results show a strong bidirectional interdependence of conditional volatility between both markets and a significant positive impact of the expansion of futures basis to the futures market volatility.