关键词: 国债期货, 协整关系, 价格发现

Abstract: 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)model 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.

Key words: treasury bond futures, co-integration relationship, price discovery