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Web of Proceedings - Francis Academic Press

Price Discovery Ability of China's Treasury Bond Futures

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DOI: 10.25236/sser.2019.249


Shifeng Wang and Lu Zhang

Corresponding Author

Shifeng Wang


Relevant research at home and abroad shows that the strength of a national treasury bond futures price discovery has an important impact on the information efficiency of the national treasury bill market. Throughout the development process of our country's national debt futures: from the end of 1992, when the government bond futures products went public until May 1995, the government bond futures trading was forced to be interrupted and then reopened in 2013, the course is really twists and turns. In 2015, China's 10-year treasury bonds futures were officially listed, further promoting the simultaneous, coordinated and orderly development of China's treasury bond futures and spot markets, and played a positive role in the continuous improvement of the financial market. So far, there have been many literatures on the price discovery function of five-year government bond futures, and the ten-year government bond futures are relatively late, and whether it has a price discovery function remains to be seen.


Treasury Bond Future; Spot Market; Price Discovery