基于高频数据的中国国债期货价格发现能力研究

Research into Price Discovery of Chinese Treasury Bond Futures Based on High Frequencies Data

期货的价格发现能力是近几年国际学术界关注的热点问题,但目前理论界相关研究主要集中于商品期货和股指期货,尚缺乏专门针对中国国债期货价格发现方面的研究。随着中国5年期国债期货于2013年9月上市交易,深入研究中国市场结构下的国债期货价格发现能力有助于从微观视角掌握与其它期货品种内在运行规律的差异性。本文运用中国5年期国债期货上市交易后的5分钟高频数据,采取向量误差修正(VECM)模型和Granger因果关系检验等计量分析方法检验中国国债期货与现货价格之间的关系,并创新性地使用共同因子贡献法和信息份额法分析我国国债期货市场与现货市场对价格发现功能的贡献程度。结果表明,中国国债期货价格与现货价格之间存在长期协整关系。中国国债期货价格是现货价格的Granger成因,且两者之间存在单向的价格引导关系。同时通过实证得出中国国债期货市场在对价格发现的贡献程度上占主导地位的结论。

Price discovery ability is a hot topic in recent years, and relevant research is concentrated in commodity futures and stock index futures, but there is a lack of research specifically into Treasury bond futures price discovery. This paper adopts 5 minutes high-frequency trade data of five-year Treasury bond futures and uses quantitative analysis methods of vector error correction（VECM）modeI and Granger causality test to test the relationship between Treasury bond futures prices and spot prices. Then, the paper uses five minutes high- frequency trading data, and innovatively adopts common factor contribution method and information share method to analyze the contribution of Treasury bond futures markets and spot markets. The results show that there exists a long-term co-integration relationship between Treasury bond futures prices and spot prices. Treasury bond futures prices are Granger cause of stock prices, while the spot prices of government bonds are not the Granger cause of Treasury bond futures prices, which means there is no two-way cause and effect relationship between Treasury bond futures prices and spot prices. Finally, through empirical results, the paper confirms that Treasury bond futures are in the dominant position in price discovery function.