我国国债期货有价格发现功能吗?

Does the Price Discovery Mechanism Work in China’s Treasury Bond Futures Market?

本文运用我国国债期货和现货市场价格数据,对国债期货的价格发现功能进行实证检验,发现国债期货和现货价格间存在协整关系,国债期货价格是国债现货价格的单向Granger原因,由此证明我国国债期货市场已具备价格发现功能。同时,方差分解分析结论显示,国债期货价格对国债现货的价格形成过程具有较高贡献度,说明国债期货市场在信息传递中起到重要作用,对国债现货市场价格具有引领效果。

This paper conducts an empirical test of the price discovery function on China’s treasury bond futures market,using spot and futures market price data.It finds that there is a cointegration relationship between treasury bond spot and futures prices.The treasury bond futures prices display a oneway Granger causality with spot treasury prices.According to variance decomposition analysis,government bond future prices contribute significantly to the price formation process for spot bonds,indicating that the treasury bond futures market plays an important role in information transmission and leads treasury bond spot market prices.