引入国债期货合约能否发挥现货市场稳定效应？——基于中国金融周期的研究视角

Journal of Financial Research

2019, Vol. 468

Issue (6): 58-75 DOI:

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Does the Treasury Bond Futures Contract Stabilize the Treasury Market？ A China's Financial Cycle Perspective

ZHANG Zongxin,ZHANG Xiuxiu

Institute for Financial Studies, Fudan University

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Abstract  Summary: The role of financial derivatives in stabilizing the spot market has always been a concern of macro policy makers and academics. Stock index futures played a role in the 2015 A-share stock market crash by promoting spot volatility, and knowing whether China's Treasury bond futures could repeat this role is key to preventing systemic risks in the financial market in the context of China's continuous financial deleveraging and strong supervision. In a developed Treasury bond futures market, the inherent characteristics of a futures market, such as leverage trading, low cost, and low short-selling restrictions, have a stabilizing effect on the spot market. However, China has an immature futures market, and it is necessary to improve market functions and mechanisms. Macro financial security and financial market stability require regulators to clarify the intrinsic function and role of futures and to minimize the negative effects of financial derivatives. The traditional analytical framework ignores the financial cycle risk and its superposition on the economic cycle. This study combines the market information transmission path and the micro mechanism of participant behavior in the Treasury bond futures market with China's financial cycle volatility to explore the mechanism that links futures contract to spot market volatility.
   The study uses the EGARCH model to describe the wave aggregation effect, as it does not need to limit the positive and negative coefficients of the variance equation. The VAR-GARCH-BEKK model is used to study the volatility spillover effect. Kogan et al. (2009) propose that the influence of base difference on conditional volatility is asymmetric. In this study, the asymmetry of base difference is introduced into the model to analyze the influence of current base differences on market volatility. Indicators such as expected and unexpected trading volume in the Treasury bond market, futures speculation and hedging behavior, and financial cycle fluctuation are constructed. A financial cycle index is synthesized using credit, credit/GDP, real estate price, and M2 year-on-year growth rate. The research sample consists of the main contract of 5-year Treasury bond futures . The bond sample is divided into newly issued deliverable Treasury bond and deliverable Treasury bond with the same yield.
   The results show that the volatility of China's Treasury bond market is significantly reduced after the introduction of a 5-year Treasury bond futures contract, that is, the futures market has a stabilizing effect. The Treasury bond futures market mitigates the impact of financial cycle volatility on spot market volatility. Through the information channel, the futures market increases the depth of the spot market, reduces the impact of spot trading volume on spot price volatility, and enhances the effect of market information transfer after adjusting for trading mechanisms such as fluctuation limit, margin ratio, and gradient position limit. The positive and negative basis differences have significant asymmetric effects on the fluctuation of bonds, but the positive basis difference is more effective. Among the futures investor behavior, the activity of speculators in Treasury bond futures is directly proportional to the spot volatility, whereas that of hedgers is inversely proportional to spot volatility.
   The study makes three contributions. First, focusing on the analysis of the micro mechanisms of market volatility, the study explores the path through which the Treasury bond futures market stabilizes the spot market by considering information transitions and different types of participants. Second, the study analyzes the impact of financial cycle risk on the volatility of the Treasury bond spot market. Third, this study explores whether the Treasury bond futures market in China restrains the impact of financial cycle risk on the stability of the spot market, and provides evidence that the Treasury bond futures contract is an effective interest rate risk management tool under financial cycle fluctuation. To stabilize the operation of the Treasury bond market and establish a mechanism for financial market stability mechanism, we should strengthen the supervision of speculative trading in Treasury bond futures, prevent excessive speculation,and enhance futures hedging.

Key words： Treasury Futures Market Financial Cycle Volatility Shock Market Stabilization

Received: 09 February 2018 Published: 27 June 2019

JEL分类号:	G10
	G14
	G18

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ZHANG Zongxin,ZHANG Xiuxiu. Does the Treasury Bond Futures Contract Stabilize the Treasury Market？ A China's Financial Cycle Perspective[J]. Journal of Financial Research, 2019, 468(6): 58-75.

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http://www.jryj.org.cn/EN/ OR http://www.jryj.org.cn/EN/Y2019/V468/I6/58

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