国债期货价格发现功能研究
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摘要
诺贝尔经济学奖获得者默顿·米勒教授说过：“没有期货市场的经济体系称不上是市场经济”。随着我国国债现货市场规模的递增,商业银行、保险机构等国债现货持有者,迫切需要我国推出国债期货,以对冲和规避他们持有的国债现货价格波动风险。面对市场日益高涨的呼声,2012年2月13日,中国金融期货交易所推出了中国5年期国债期货仿真交易；2013年9月6日,中国5年期国债期货真实交易正式在中金所上市。
默顿·米勒教授也说过：“期货市场的魅力在于让你真正了解价格”。目前,国内外理论界对股指期货价格发现功能的研究较多,大多学者认为：股指期货市场具有高杠杆性、低交易成本、卖空机制等特殊的市场微观结构,导致拥有信息优势的知情交易者会首先选择在股指期货市场进行交易,使得股指期货价格相比现货价格更加率先、全面的吸收、消化、反应股票市场产生的新息(innovations,新信息),使得股指期货价格发现功能较股指现货更强。那么,大多学者对股指期货价格发现功能的研究结论,是否也适用于国债期货呢?目前,国债期货价格发现功能研究是一个被忽视的领域,国内外可参考的相关理论文献较少,这引起了作者的兴趣,也是作者立文研究国债期货价格发现功能的出发点和依托点。
作者在梳理、归纳、继承和发展前人观点的基础上,构建了一个研究期货市场价格发现功能的逻辑框架,从2个不同的视角研究期货市场价格发现功能：
1、对比期货和现货两个市场的视角
(1)研究一阶矩期货和现货价格相互引导关系；
(2)研究一阶矩期货和现货价格发现相对贡献份额；
(3)研究二阶矩期货和现货价格波动相互溢出效应。
2、单独研究现货市场的视角
(4)研究期货市场单独对现货市场信息效率的影响。
本文的行文线索也是按照上述2个视角、4个步骤由浅入深、循序渐进的层层揭开国债期货价格发现功能的神秘面纱,从各个角度探究和剖析国债期货价格发现功能的内在机理和本质。
具体来说：本文第3章即是按照步骤(1)的视角,研究国债期货和现货价格相互引导的方向,研究国债期货和现货价格瞬时吸收、消化、揭示市场信息的速度快慢等问题；本文第4章即是按照步骤(2)的视角,研究国债期货和现货价格融入同一个信息的相比率大小,研究国债期货和现货价格对二者长期均衡价格的贡献权重大小,从数量上精确的回答国债期货和现货在价格发现中的主导和从属地位；本文第5章即是按照步骤(3)的视角,研究国债期货和现货价格波动相互溢出的方向、大小,进而研究国债市场产生的信息在国债期货和现货两市场间传递的方向、大小；本文第6章即是按照步骤(4)的视角,研究国债期货对国债现货市场信息传播效率、波动性的影响。
同时,本文研究样本众多,包含了美、德、英、日、韩和中国等国家国债期货市场；研究数据频率众多,包含1分钟、10分钟、日收盘数据等各种频率数据；研究数据时段众多,有2008年后至2013年的数据时段,也有2001年至2013的数据时段；研究数据类型众多,有真实交易数据,也有仿真交易数据。本文始终坚持“洋为中用”、“他山之石,可以攻玉”的思想,力争在研究国外发达国家国债期货价格发现功能的过程中,归纳和提炼出有利于我国国债期货市场发展的经验、建议。
本文共分7章,各章主要内容如下：
第1章《绪论》。主要介绍本文的选题背景、研究意义、研究方法、研究思路、研究不足及可能的创新点等内容。
第2章《相关基础理论及文献综述》。作者梳理和归纳了前人研究期货价格发现功能的逻辑思路、研究结论,并将研究结论的不同归因于不同研究样本、同一研究样本不同时间区间、不同数据频率、不同数据类型以及不同研究方法造成的。
第3章《基于一阶矩国债期货和现货价格引导关系研究》。(1)本章通过对美、德、日、中国债期货和现货价格建立VECM模型,得知上述四国国债期货价格偏离长期均衡价格的幅度均大于现货价格偏离的幅度,这说明上述四国国债期货市场瞬时吸收、消化、揭示新信息的速度均小于国债现货市场,国债期货市场价格发现功能较国债现货市场弱。(2)通过VECM建模,得知德国10年期国债期货和现货价格符合反向修正机制,这说明德国国债期货和现货市场是高度有效的市场,当国债市场新信息瞬时产生时,德国国债期货和现货投资者尤其是期现套利者能够及时发现期货和现货价格对新信息的定价偏差,并通过期现套利活动矫正和缩小这种定价差异,使得德国国债期货和现货市场联动、协同效应较强。美国、日本10年期国债期货和现货价格不符合反向修正机制,这说明美国、日本国债期货和现货投资者不能瞬时的理性吸收、消化新信息,表现出对新信息的过度反应即超调(overshooting)现象,导致美国、日本投资者对国债的理性定价时间较德国延迟、滞后一些。(3)通过广义脉冲响应函数GIRF建模,得知美、德、日、中国债现货市场1个标准误差新信息冲击对国债期货价格的影响均高于美、德、日、中国债期货市场1个标准误差新信息冲击对国债现货价格的影响,这说明美、德、日、中国债现货价格引导期货价格,国债现货市场在价格发现中占据主导作用。(4)作者将中国仿真国债期货价格发现功能弱归因于仿真交易是虚拟资金交易,仿真交易不能实现实物交割,不能实现期现套利。
第4章《基于一阶矩国债期货和现货价格发现贡献份额研究》。(1)同时运用IS、MIS、PT三个模型研究美、德、日、中国债期货和现货价格发现贡献份额,发现95%以上的样本支持国债现货贡献份额高于期货贡献份额,国债现货市场在价格发现中占据主导作用,这和第3章、第5章的研究结论是一致的。作者将美、德、日国债期货价格发现功能弱归因于美、德、日国债期货和现货市场机构投资者分布具有对称性,国债期货市场套期保值者比例较高,国债是固定收益类产品等三个原因。(2)通过计算美国42个0.5年的国债期货、现货价格发现贡献份额,我们发现美国10年期国债期货、现货贡献份额随着时间推移表现出时变的特征,此消彼长。作者通过建模发现,美国国债期货、现货贡献份额时变的原因在于期货、现货市场相对流动性水平、相对交易成本、相对噪音交易者比例在时变。
第5章《基于二阶矩国债期货和现货价格波动溢出效应》。(1)同时运用双变量VECM-BEKK-GARCH、VECM-CCC-GARCH、VECM-DCC-GARCH三个模型研究美国、德国10年期国债期货和现货价格波动相互溢出效应,进而研究国债市场产生的信息在期货和现货两个市场之间相互传递的方向、大小,研究发现美国、德国国债现货价格对期货价格的波动溢出效应更显著,国债现货市场在价格发现中占据主导作用。这和第3章、第4章的研究结论一致。(2)三个模型下的美国、德国国债期货和现货价格动态相关系数、固定相关系数均很高,这说明美国、德国国债期货和现货市场的联动性、协同性很强。当市场新信启、产生时,期货和现货价格都会揭示新信息,并通过期现套利者的套利操作互相传递新信启、,进而影响彼此的价格。(3)三个模型下德国国债期货和现货价格动态相关系数、固定相关系数均高于相应模型下美国国债期货和现货价格动态相关系数、固定相关系数,这进一步印证了第3章VECM模型下德国国债期、现货市场有效性高于美国期、现货市场有效性的结论。
第6章《国债期货对国债现货市场信息效率影响研究》。第3章、第4章、第5章从一阶矩、二阶矩不同角度得出了国债期货价格发现功能较国债现货弱的结论,我们研究国债期货价格发现功能遇到了瓶颈。因此,作者转换了研究视角,跳出了纯粹对比期货和现货两个市场的视角,研究国债期货单独对国债现货市场信息效率的影响：(1)运用ARIMA-GARCH模型,发现英国、韩国国债期货市场的推出增加了一个反应国债市场信息的渠道,将单轨道国债现货市场结构拓展成了期、现货并行的双轨道市场结构,增厚了国债市场体系,提高了相应国家国债现货市场信息传播的效率,进而证明了国债期货具备价格发现功能。(2)运用带有虚拟变量的ARIMA-GARCH模型,发现英国、韩国国债期货市场的推出虽然提高了相应国家现货市场的信息传播效率,但并没有对现货市场波动性产生显著影响,这说明现货市场信息、效率的提高与波动性并不存在一定的因果关系。
第7章《本文研究结论及政策建议》。归纳和提炼国外发达国家国债期货价格发现功能的研究结论,从价格发现的视角,结合流动性水平,交易成本,噪声交易者比例,套期保值者、期现套利者、投机者比例等微观市场结构理论,为中国国债期货市场未来的发展提出一些政策建议。
本文的创新点：(1)在研究思路方面：构建了一个2个视角、4个步骤分析期货价格发现功能的逻辑框架。(2)在选题方面：在国内首次系统的定量分析了“国债期货”的价格发现功能。(3)在实证研究方法方面：在研究一阶矩国债期货和现货价格引导关系时,在国内首次使用广义脉冲响应函数GIRF对国债期货价格发现功能展开研究；在研究一阶矩阵国债期货和现货价格发现贡献份额时,在国内首次使用IS模型、首次使用MIS模型、首次使用PT模型对国债期货价格发现功能展开研究,并同时对比IS、MIS、PT三个模型的实证结论,避免了研究结论对模型的依赖；在研究二阶矩国债期货和现货价格波动溢出效应时,在国内首次使用VECM-BEKK-GARCH模型、首次使用VECM-CCC-GARCH模型、首次使用VECM-DCC-GARCH模型对国债期货价格发现功能展开研究,并同时对比VECM-BEKK-GARCH、 VECM-CCC-GARCH、VECM-DCC-GARCH三个模型的实证结论,避免了研究结论对模型的依赖；在研究国债期货对国债现货市场信息效率影响时,在国内首次使用ARIMA-GARCH模型对国债期货价格发现功能展开研究。(4)在理论研究方法方面：本文试图从国债期货和现货市场微观结构出发,如从国债期货和现货市场相对机构投资者分布特征、国债期货和现货市场相对流动性水平强弱、相对交易成本高低、相对噪声交易者比例高低、国债期货市场套期保值者比例高低、国债作为固定收益类产品特点的角度出发解释第3、4、5、6章的实证研究结论,这在国内也是较早的尝试。
本文研究的不足：(1)没有深入挖掘和探究各国国债期货价格发现功能的差异性,如没有从市场微观结构的角度对德国10年期国债期货价格发现功能强于美国10年期国债期货价格发现功能的原因作出解释。(2)作者理论水平有限,实证研究能力有限,没有考虑国家重要公共宏观信息如就业率、CPI、PPI等的宣布对国债期货、现货价格发现贡献份额时变的影响。(3)中国国债期货使用的是仿真交易数据,有关中国的实证研究结论说服力不强。(4)限于篇幅有限,作者没有将持有成本理论下的跨美国10年期国债期货和现货市场正向期现套利回测检验结果、VAR模型建模结果、单(双)变量非对称GARCH模型建模结果、一些稳健性检验结果详细列出。
Professor Merton Miller, Nobel prize winner of Economics, once said:"The system of economic without futures market can not be called as market economy." With the increasing size of Chinese treasury market, the holders of commercial banks, insurance agencies, urgently need China to launch the treasury future, which aims to hedge and dodge the risks of holding the treasury's price fluctuations. Facing the increasing louder call of the market, China Financial Futures Exchange (CFFE) launched Chinese5-year simulation trading of the treasury future on13rd,Feb2012; And on6th,Sept2013, the real5-year treasury future trading was listed at CFFE.
Professor Merton Miller, once also said,'the charms of futures market lies in allowing you to truly understand the price'. At present, domestic and oversea theorists have studied so much on price discovery function of stock index futures, most of scholars believe that:stock index futures market has special market microstructure which shows as high leveraged,low transaction costs, and short selling mechanism; which leads to the informed traders with information superiority who would choose to firstly trade in the stock index futures market; making stock index futures price more leadingly, comprehensively to absorb and digest the stock market's innovations (new informations) comparing to the cash price; which caused the better price discovery function of stock index futures than the stock index spot. Therefore, if the study conclusion of the majority of scholars on price discovery function of stock index futures, applies to the treasury futures? Nowadays, studying on price discovery function of the treasury futures is an neglected area, with so less referring relevant domestic and international theoretical literature, which not only caused the author's interest, but also the starting point and basis points on studying the price discovery function of the treasury futures of author's paper.
On the combination, induction and succession of predecessors points of view the author builds a logical framework of the researches on futures price discovery function, which studies futures price discovery function in two different perspectives:
1.compared to futures and cash market's perspective
(1) the first moment to study on the mutual lead-lag relationship of futures and cash prices;
(2) the first moment to study the relative contribution to the share of price discovery of futures and cash prices;
(3) the second moment to study on mutual volatility spillover effects of futures and cash prices.
2.separately study cash market perspective
(4) Research on futures market independently affecting the information efficiency of cash market.
In this paper, to study futures price discovery function which follows the above2perspectives,4steps gradually to unlock the secretes of futures price discovery function from the shallower to the deeper, and to explore and analyze the internal mechanism and essences of futures price discovery function from every perspectives.
In particular, Chapter3of this paper follows Step (1)'s perspective to study the mutual lead-lag relationship of futures and cash prices, with the content of studying the mutual leading direction, the speed of absorbing and digesting the instantaneous change of market's innovations; Chapter4follows the Step(2)'s perspective to study the relative contribution to the share of price discovery of futures and cash prices, with the research on the rates of merging the same informaitons between futures and cash prices, and on the contribution of long term equilibrium price between futures and cash prices, which precisely reveals the dominant and subordinate position in the price discovery between the treasury futures and the treasury in quantity; Chapter5follows the Step(3)'s perspective to study the direction and size of mutual volatility spillover between the treasury futures and the treasury:Chapter6follows Step(4) to study the launch of the treasury futures' influences on the information dissemination efficiency, the impact of volatility to the treasury market.
Meanwhile, this paper studies with numerous of samples, which includes the United States, Germany, Britain, Japan. South Korea and China's treasury futures market; through studying numerous of data frequency, including1minute,10minutes, day trading data; by studying many data types, such as real transaction data and the simulation transaction data. In this paper, always adheres to the "make foreign things serve China", the thoughts of "Stones from other hills may serve to polish the jade of this one ", strives to research in the treasury futures price discovery function of the other developed countries, so as to generalize and refine the experience and advice to the development of China's treasury futures market.
This paper is divided into7chapters, each chapter concludes the studies as follows:
Chapter1,"Preface".Which mainly introduces the research background, significance, research methods, research ideas, research deficiency and possible innovation points, etc.
Chapter2,"The Relevant Basic Theory and Literature Review". The author sorts out and summarizes the logical thinking, research finding of the previous studies on futures price discovery function, and attribute to different studies conclusion caused by the different samples, same samples at different time intervals, different data frequency, different data types and different research methods.
Chapter3,"The Mutual lead-lag Relationship Between Treasury Futures and Cash Price Based On First Moment". Firstly, through the comparison on the absolute value of long term adjustment coefficient of the treasury future price and treasury price for the countries such as the United States, Germany, Japan, China, which finds out the bigger adjustment range of the above4countries's treasury future price's long-term equilibrium than the treasury market, so it shows the slower speed of the above4countries's absorbing and digesting the instantaneous change of market's innovations, the weaker price discovery function of the treasury future market.
Secondly, by comparing the United States, Germany, Japan's long-term adjustment coefficient of symbols, which learns that the Germany10-year bond treasury futures and treasury market is in line with the reverse correction mechanism, this suggests that the Germany treasury futures market and treasury market is the highly effective market; when the market's innovations takes place instantaneously, Germany investors especially the arbitrager of treasury future and treasury market can discover the pricing deviation of innovations between future and cash prices in time, and correct and narrow the difference of the pricing through arbitrage, makes the stronger linking and synergistic effect of Germany treasury future and treasury market.The United States, Japan's10-year treasury future and treasury market are not in conformity with the reverse correction mechanism, it shows that the investors of United States, Japanese's treasury future and treasury market can't rationally absorb and digest the instantaneous innovations of the market, but to show the overreacting phenomenon (overshooting) to the innovations, which caused United States and Japan's more delayed pricing time of the basic internal value of the treasury than Germany.
Thirdly, through the GIRF modeling, we find out that, the impact of the one s.d. innovation from the treasury market to the treasury future market is more stronger than the impact of the one s.d. innovation from the treasury future market to the treasury market for the countries such as the United States, Germany, Japan, China, which shows that the treasury price lead the treasury future price on the above4countries, so the treasury market plays the dominant role in price discovery
Fourthly, the writer thinks that the weaker price discovery function of the treasury future market than the treasury market is due to the simulation transaction is difficult to achieve physical delivery and arbitrage.
Chapter4,"The Relative Contribution to the Share of Price Discovery Of The Treasury Future and Treasury Market Based on First Moment". Firstly, the writer uses IS, MIS, PT models to study the contribution to the share of price discovery based on the first moment treasury future and treasury of the United States, Germany, Japan and China, finding that more than95%of the samples support higher contribution to the share of price discovery of treasury rather than that of treasury future, and the treasury market plays the dominant role in price discovery, which is consistent with the findings of Chapter3and5. The writer contributes the results to the following three aspects:a. symmetry of the investors from the treasury future and treasury markets; b. higher market hedgers proportion of the treasury future; c. the fixed-income nature of treasury futures.
Secondly, through the analysis on the42consecutive0.5year contribution to the share of price discovery of treasury future and treasury of the United States, the writer finds that in the last decade, the treasury future and treasury contribution shares present time-varying characteristics over time rather than fixed. With modeling, the writers demonstrated that the changes due to the relative liquidity levels, relative transaction costs, relative noise traders proportions of the two market.
Chapter5,"The Mutual Volatility Spillover Effects Between Treasury Futures and Treasury Prices Based on Second Moment." Firstly, bivariate models of VECM-BEKK-GARCH, VECM-CCC-GARCH, VECM-DCC-GARCH are used to study the mutual volatility spillover effects between treasury futures and treasury prices of the United States and Germany, and the results show that the volatility spillover effects of treasury prices on treasury future prices are more statistically significant and the treasury market plays the key role in price discovery, which are consistent with the conclusions of Chapter3and4.
Secondly, all of the3models show high dynamic correlation coefficients, fixed correlation coefficients of the treasury futures and treasury market, indicating that there is strong linkage and correlation between treasury futures and treasury markets in the United States and Germany. When innovation generates, both futures and treasury markets react to the innovation and transfer the innovation between each other through arbitrage operations, thus affecting the market prices.
Thirdly, the results of the3models show that the dynamic correlation coefficients, fixed correlation coefficients of German treasury future price and treasury price are higher than that of American, further confirming the conclusion of Chapter3that in VECM model the effectiveness of German treasury and treasury futures is higher than that of the American.
Chapter6,"Effect Of Treasury Future Market on the Information Efficiency of Treasury Market".. Firstly, by using first moment and second moment perspectives, the writer proves that the price discovery function of treasury future is weaker than that of treasury in Chapter3,4and5, however, there is bottleneck to study the price discovery function of treasury future. Therefore, different research perspective is adopted to separately study the effect of treasury future on the information efficiency of treasury market instead of contrasting the markets of future and cash:Firstly, using ARIMA-GARCH model, the writer finds that the release of treasury future market in the United Kingdom and South Korea adds new channel and market to reflect the innovation of treasury market, which extends the single track treasury market structure into parallel track structure of future and treasury, strengthening the treasury market system, improving the information transmission efficiency of treasury market in corresponding countries. Thus, the price discovery function of treasury future has been proved.
Secondly, using the ARIMA-GARCH model, which contains dummy variables, the writer finds that there is no significant effect of the release of treasury future market in the United Kingdom and South Korea on the volatility of treasury market in corresponding countries, indicating that there is no certain causal relationship between the improvement and volatility of treasury market information effectiveness after the release of treasury future.
Chapter7,"Conclusions and Recommendations".The price discovery function of treasury future is concluded by studying the researches of the developed countries, and some policy recommendations are suggested for the future development of treasury future market in China from the perspective of price discovery by combining the micro-market theories of liquidity level, transaction costs, proportions of noise traders, hedgers, and proportion of speculators.
Innovations in this paper include:(1) idea:a logical framework with two perspectives four steps is constructed for the analysis of the price discovery function of the price of future;(2) topic:the price discovery function of "treasury future" is quantitatively analyzed for the first time by using the mentioned logical framework;(3) empirical research methods:the generalized impulse response function GIRF is used for the first time in China to study the price discovery function of treasury future on studying the lead-lag relationship between treasury future and price of cash; studying on the contribution to the share of price discovery of treasury future, the IS model、MIS model and PT model are used to study the price discovery function of treasury future for the first time in China, which also simultaneously contrasted the empirical findings of models IS, MIS and PT, avoiding the dependence of conclusion on models; the VECM-BEKK-GARCH, VECM-CCC-GARCH and VECM-DCC-GARCH models are initially used for the study of the mutual volatility spillover effects between treasury future price and treasury price, which also contrasts the empirical findings of models VECM-BEKK-GARCH, VECM-CCC-GARCH, VECM-DCC-GARCH, avoiding the dependence of conclusion on models; in the study of the effect of treasury future market on the information effectiveness of treasury market, the ARIMA-GARCH model, which contains dummy variables is adopted for the study of price discovery function of treasury future for the first time in China;(4) theoretical analysis methods:the empirical findings in Chapter3,4,5and6are demonstrated from the microstructure of treasury future and treasury market, such as the distribution characteristics of institutional investors in treasury future and treasury market, the proportions of hedgers in treasury future market, the characters of treasury as fixed income product, the relative liquidity level of treasury future and treasury market, the relative transaction costs, the relative proportions of noise traders, which is also new in the study of this area in China.
默顿·米勒教授也说过：“期货市场的魅力在于让你真正了解价格”。目前,国内外理论界对股指期货价格发现功能的研究较多,大多学者认为：股指期货市场具有高杠杆性、低交易成本、卖空机制等特殊的市场微观结构,导致拥有信息优势的知情交易者会首先选择在股指期货市场进行交易,使得股指期货价格相比现货价格更加率先、全面的吸收、消化、反应股票市场产生的新息(innovations,新信息),使得股指期货价格发现功能较股指现货更强。那么,大多学者对股指期货价格发现功能的研究结论,是否也适用于国债期货呢?目前,国债期货价格发现功能研究是一个被忽视的领域,国内外可参考的相关理论文献较少,这引起了作者的兴趣,也是作者立文研究国债期货价格发现功能的出发点和依托点。
作者在梳理、归纳、继承和发展前人观点的基础上,构建了一个研究期货市场价格发现功能的逻辑框架,从2个不同的视角研究期货市场价格发现功能：
1、对比期货和现货两个市场的视角
(1)研究一阶矩期货和现货价格相互引导关系；
(2)研究一阶矩期货和现货价格发现相对贡献份额；
(3)研究二阶矩期货和现货价格波动相互溢出效应。
2、单独研究现货市场的视角
(4)研究期货市场单独对现货市场信息效率的影响。
本文的行文线索也是按照上述2个视角、4个步骤由浅入深、循序渐进的层层揭开国债期货价格发现功能的神秘面纱,从各个角度探究和剖析国债期货价格发现功能的内在机理和本质。
具体来说：本文第3章即是按照步骤(1)的视角,研究国债期货和现货价格相互引导的方向,研究国债期货和现货价格瞬时吸收、消化、揭示市场信息的速度快慢等问题；本文第4章即是按照步骤(2)的视角,研究国债期货和现货价格融入同一个信息的相比率大小,研究国债期货和现货价格对二者长期均衡价格的贡献权重大小,从数量上精确的回答国债期货和现货在价格发现中的主导和从属地位；本文第5章即是按照步骤(3)的视角,研究国债期货和现货价格波动相互溢出的方向、大小,进而研究国债市场产生的信息在国债期货和现货两市场间传递的方向、大小；本文第6章即是按照步骤(4)的视角,研究国债期货对国债现货市场信息传播效率、波动性的影响。
同时,本文研究样本众多,包含了美、德、英、日、韩和中国等国家国债期货市场；研究数据频率众多,包含1分钟、10分钟、日收盘数据等各种频率数据；研究数据时段众多,有2008年后至2013年的数据时段,也有2001年至2013的数据时段；研究数据类型众多,有真实交易数据,也有仿真交易数据。本文始终坚持“洋为中用”、“他山之石,可以攻玉”的思想,力争在研究国外发达国家国债期货价格发现功能的过程中,归纳和提炼出有利于我国国债期货市场发展的经验、建议。
本文共分7章,各章主要内容如下：
第1章《绪论》。主要介绍本文的选题背景、研究意义、研究方法、研究思路、研究不足及可能的创新点等内容。
第2章《相关基础理论及文献综述》。作者梳理和归纳了前人研究期货价格发现功能的逻辑思路、研究结论,并将研究结论的不同归因于不同研究样本、同一研究样本不同时间区间、不同数据频率、不同数据类型以及不同研究方法造成的。
第3章《基于一阶矩国债期货和现货价格引导关系研究》。(1)本章通过对美、德、日、中国债期货和现货价格建立VECM模型,得知上述四国国债期货价格偏离长期均衡价格的幅度均大于现货价格偏离的幅度,这说明上述四国国债期货市场瞬时吸收、消化、揭示新信息的速度均小于国债现货市场,国债期货市场价格发现功能较国债现货市场弱。(2)通过VECM建模,得知德国10年期国债期货和现货价格符合反向修正机制,这说明德国国债期货和现货市场是高度有效的市场,当国债市场新信息瞬时产生时,德国国债期货和现货投资者尤其是期现套利者能够及时发现期货和现货价格对新信息的定价偏差,并通过期现套利活动矫正和缩小这种定价差异,使得德国国债期货和现货市场联动、协同效应较强。美国、日本10年期国债期货和现货价格不符合反向修正机制,这说明美国、日本国债期货和现货投资者不能瞬时的理性吸收、消化新信息,表现出对新信息的过度反应即超调(overshooting)现象,导致美国、日本投资者对国债的理性定价时间较德国延迟、滞后一些。(3)通过广义脉冲响应函数GIRF建模,得知美、德、日、中国债现货市场1个标准误差新信息冲击对国债期货价格的影响均高于美、德、日、中国债期货市场1个标准误差新信息冲击对国债现货价格的影响,这说明美、德、日、中国债现货价格引导期货价格,国债现货市场在价格发现中占据主导作用。(4)作者将中国仿真国债期货价格发现功能弱归因于仿真交易是虚拟资金交易,仿真交易不能实现实物交割,不能实现期现套利。
第4章《基于一阶矩国债期货和现货价格发现贡献份额研究》。(1)同时运用IS、MIS、PT三个模型研究美、德、日、中国债期货和现货价格发现贡献份额,发现95%以上的样本支持国债现货贡献份额高于期货贡献份额,国债现货市场在价格发现中占据主导作用,这和第3章、第5章的研究结论是一致的。作者将美、德、日国债期货价格发现功能弱归因于美、德、日国债期货和现货市场机构投资者分布具有对称性,国债期货市场套期保值者比例较高,国债是固定收益类产品等三个原因。(2)通过计算美国42个0.5年的国债期货、现货价格发现贡献份额,我们发现美国10年期国债期货、现货贡献份额随着时间推移表现出时变的特征,此消彼长。作者通过建模发现,美国国债期货、现货贡献份额时变的原因在于期货、现货市场相对流动性水平、相对交易成本、相对噪音交易者比例在时变。
第5章《基于二阶矩国债期货和现货价格波动溢出效应》。(1)同时运用双变量VECM-BEKK-GARCH、VECM-CCC-GARCH、VECM-DCC-GARCH三个模型研究美国、德国10年期国债期货和现货价格波动相互溢出效应,进而研究国债市场产生的信息在期货和现货两个市场之间相互传递的方向、大小,研究发现美国、德国国债现货价格对期货价格的波动溢出效应更显著,国债现货市场在价格发现中占据主导作用。这和第3章、第4章的研究结论一致。(2)三个模型下的美国、德国国债期货和现货价格动态相关系数、固定相关系数均很高,这说明美国、德国国债期货和现货市场的联动性、协同性很强。当市场新信启、产生时,期货和现货价格都会揭示新信息,并通过期现套利者的套利操作互相传递新信启、,进而影响彼此的价格。(3)三个模型下德国国债期货和现货价格动态相关系数、固定相关系数均高于相应模型下美国国债期货和现货价格动态相关系数、固定相关系数,这进一步印证了第3章VECM模型下德国国债期、现货市场有效性高于美国期、现货市场有效性的结论。
第6章《国债期货对国债现货市场信息效率影响研究》。第3章、第4章、第5章从一阶矩、二阶矩不同角度得出了国债期货价格发现功能较国债现货弱的结论,我们研究国债期货价格发现功能遇到了瓶颈。因此,作者转换了研究视角,跳出了纯粹对比期货和现货两个市场的视角,研究国债期货单独对国债现货市场信息效率的影响：(1)运用ARIMA-GARCH模型,发现英国、韩国国债期货市场的推出增加了一个反应国债市场信息的渠道,将单轨道国债现货市场结构拓展成了期、现货并行的双轨道市场结构,增厚了国债市场体系,提高了相应国家国债现货市场信息传播的效率,进而证明了国债期货具备价格发现功能。(2)运用带有虚拟变量的ARIMA-GARCH模型,发现英国、韩国国债期货市场的推出虽然提高了相应国家现货市场的信息传播效率,但并没有对现货市场波动性产生显著影响,这说明现货市场信息、效率的提高与波动性并不存在一定的因果关系。
第7章《本文研究结论及政策建议》。归纳和提炼国外发达国家国债期货价格发现功能的研究结论,从价格发现的视角,结合流动性水平,交易成本,噪声交易者比例,套期保值者、期现套利者、投机者比例等微观市场结构理论,为中国国债期货市场未来的发展提出一些政策建议。
本文的创新点：(1)在研究思路方面：构建了一个2个视角、4个步骤分析期货价格发现功能的逻辑框架。(2)在选题方面：在国内首次系统的定量分析了“国债期货”的价格发现功能。(3)在实证研究方法方面：在研究一阶矩国债期货和现货价格引导关系时,在国内首次使用广义脉冲响应函数GIRF对国债期货价格发现功能展开研究；在研究一阶矩阵国债期货和现货价格发现贡献份额时,在国内首次使用IS模型、首次使用MIS模型、首次使用PT模型对国债期货价格发现功能展开研究,并同时对比IS、MIS、PT三个模型的实证结论,避免了研究结论对模型的依赖；在研究二阶矩国债期货和现货价格波动溢出效应时,在国内首次使用VECM-BEKK-GARCH模型、首次使用VECM-CCC-GARCH模型、首次使用VECM-DCC-GARCH模型对国债期货价格发现功能展开研究,并同时对比VECM-BEKK-GARCH、 VECM-CCC-GARCH、VECM-DCC-GARCH三个模型的实证结论,避免了研究结论对模型的依赖；在研究国债期货对国债现货市场信息效率影响时,在国内首次使用ARIMA-GARCH模型对国债期货价格发现功能展开研究。(4)在理论研究方法方面：本文试图从国债期货和现货市场微观结构出发,如从国债期货和现货市场相对机构投资者分布特征、国债期货和现货市场相对流动性水平强弱、相对交易成本高低、相对噪声交易者比例高低、国债期货市场套期保值者比例高低、国债作为固定收益类产品特点的角度出发解释第3、4、5、6章的实证研究结论,这在国内也是较早的尝试。
本文研究的不足：(1)没有深入挖掘和探究各国国债期货价格发现功能的差异性,如没有从市场微观结构的角度对德国10年期国债期货价格发现功能强于美国10年期国债期货价格发现功能的原因作出解释。(2)作者理论水平有限,实证研究能力有限,没有考虑国家重要公共宏观信息如就业率、CPI、PPI等的宣布对国债期货、现货价格发现贡献份额时变的影响。(3)中国国债期货使用的是仿真交易数据,有关中国的实证研究结论说服力不强。(4)限于篇幅有限,作者没有将持有成本理论下的跨美国10年期国债期货和现货市场正向期现套利回测检验结果、VAR模型建模结果、单(双)变量非对称GARCH模型建模结果、一些稳健性检验结果详细列出。
Professor Merton Miller, Nobel prize winner of Economics, once said:"The system of economic without futures market can not be called as market economy." With the increasing size of Chinese treasury market, the holders of commercial banks, insurance agencies, urgently need China to launch the treasury future, which aims to hedge and dodge the risks of holding the treasury's price fluctuations. Facing the increasing louder call of the market, China Financial Futures Exchange (CFFE) launched Chinese5-year simulation trading of the treasury future on13rd,Feb2012; And on6th,Sept2013, the real5-year treasury future trading was listed at CFFE.
Professor Merton Miller, once also said,'the charms of futures market lies in allowing you to truly understand the price'. At present, domestic and oversea theorists have studied so much on price discovery function of stock index futures, most of scholars believe that:stock index futures market has special market microstructure which shows as high leveraged,low transaction costs, and short selling mechanism; which leads to the informed traders with information superiority who would choose to firstly trade in the stock index futures market; making stock index futures price more leadingly, comprehensively to absorb and digest the stock market's innovations (new informations) comparing to the cash price; which caused the better price discovery function of stock index futures than the stock index spot. Therefore, if the study conclusion of the majority of scholars on price discovery function of stock index futures, applies to the treasury futures? Nowadays, studying on price discovery function of the treasury futures is an neglected area, with so less referring relevant domestic and international theoretical literature, which not only caused the author's interest, but also the starting point and basis points on studying the price discovery function of the treasury futures of author's paper.
On the combination, induction and succession of predecessors points of view the author builds a logical framework of the researches on futures price discovery function, which studies futures price discovery function in two different perspectives:
1.compared to futures and cash market's perspective
(1) the first moment to study on the mutual lead-lag relationship of futures and cash prices;
(2) the first moment to study the relative contribution to the share of price discovery of futures and cash prices;
(3) the second moment to study on mutual volatility spillover effects of futures and cash prices.
2.separately study cash market perspective
(4) Research on futures market independently affecting the information efficiency of cash market.
In this paper, to study futures price discovery function which follows the above2perspectives,4steps gradually to unlock the secretes of futures price discovery function from the shallower to the deeper, and to explore and analyze the internal mechanism and essences of futures price discovery function from every perspectives.
In particular, Chapter3of this paper follows Step (1)'s perspective to study the mutual lead-lag relationship of futures and cash prices, with the content of studying the mutual leading direction, the speed of absorbing and digesting the instantaneous change of market's innovations; Chapter4follows the Step(2)'s perspective to study the relative contribution to the share of price discovery of futures and cash prices, with the research on the rates of merging the same informaitons between futures and cash prices, and on the contribution of long term equilibrium price between futures and cash prices, which precisely reveals the dominant and subordinate position in the price discovery between the treasury futures and the treasury in quantity; Chapter5follows the Step(3)'s perspective to study the direction and size of mutual volatility spillover between the treasury futures and the treasury:Chapter6follows Step(4) to study the launch of the treasury futures' influences on the information dissemination efficiency, the impact of volatility to the treasury market.
Meanwhile, this paper studies with numerous of samples, which includes the United States, Germany, Britain, Japan. South Korea and China's treasury futures market; through studying numerous of data frequency, including1minute,10minutes, day trading data; by studying many data types, such as real transaction data and the simulation transaction data. In this paper, always adheres to the "make foreign things serve China", the thoughts of "Stones from other hills may serve to polish the jade of this one ", strives to research in the treasury futures price discovery function of the other developed countries, so as to generalize and refine the experience and advice to the development of China's treasury futures market.
This paper is divided into7chapters, each chapter concludes the studies as follows:
Chapter1,"Preface".Which mainly introduces the research background, significance, research methods, research ideas, research deficiency and possible innovation points, etc.
Chapter2,"The Relevant Basic Theory and Literature Review". The author sorts out and summarizes the logical thinking, research finding of the previous studies on futures price discovery function, and attribute to different studies conclusion caused by the different samples, same samples at different time intervals, different data frequency, different data types and different research methods.
Chapter3,"The Mutual lead-lag Relationship Between Treasury Futures and Cash Price Based On First Moment". Firstly, through the comparison on the absolute value of long term adjustment coefficient of the treasury future price and treasury price for the countries such as the United States, Germany, Japan, China, which finds out the bigger adjustment range of the above4countries's treasury future price's long-term equilibrium than the treasury market, so it shows the slower speed of the above4countries's absorbing and digesting the instantaneous change of market's innovations, the weaker price discovery function of the treasury future market.
Secondly, by comparing the United States, Germany, Japan's long-term adjustment coefficient of symbols, which learns that the Germany10-year bond treasury futures and treasury market is in line with the reverse correction mechanism, this suggests that the Germany treasury futures market and treasury market is the highly effective market; when the market's innovations takes place instantaneously, Germany investors especially the arbitrager of treasury future and treasury market can discover the pricing deviation of innovations between future and cash prices in time, and correct and narrow the difference of the pricing through arbitrage, makes the stronger linking and synergistic effect of Germany treasury future and treasury market.The United States, Japan's10-year treasury future and treasury market are not in conformity with the reverse correction mechanism, it shows that the investors of United States, Japanese's treasury future and treasury market can't rationally absorb and digest the instantaneous innovations of the market, but to show the overreacting phenomenon (overshooting) to the innovations, which caused United States and Japan's more delayed pricing time of the basic internal value of the treasury than Germany.
Thirdly, through the GIRF modeling, we find out that, the impact of the one s.d. innovation from the treasury market to the treasury future market is more stronger than the impact of the one s.d. innovation from the treasury future market to the treasury market for the countries such as the United States, Germany, Japan, China, which shows that the treasury price lead the treasury future price on the above4countries, so the treasury market plays the dominant role in price discovery
Fourthly, the writer thinks that the weaker price discovery function of the treasury future market than the treasury market is due to the simulation transaction is difficult to achieve physical delivery and arbitrage.
Chapter4,"The Relative Contribution to the Share of Price Discovery Of The Treasury Future and Treasury Market Based on First Moment". Firstly, the writer uses IS, MIS, PT models to study the contribution to the share of price discovery based on the first moment treasury future and treasury of the United States, Germany, Japan and China, finding that more than95%of the samples support higher contribution to the share of price discovery of treasury rather than that of treasury future, and the treasury market plays the dominant role in price discovery, which is consistent with the findings of Chapter3and5. The writer contributes the results to the following three aspects:a. symmetry of the investors from the treasury future and treasury markets; b. higher market hedgers proportion of the treasury future; c. the fixed-income nature of treasury futures.
Secondly, through the analysis on the42consecutive0.5year contribution to the share of price discovery of treasury future and treasury of the United States, the writer finds that in the last decade, the treasury future and treasury contribution shares present time-varying characteristics over time rather than fixed. With modeling, the writers demonstrated that the changes due to the relative liquidity levels, relative transaction costs, relative noise traders proportions of the two market.
Chapter5,"The Mutual Volatility Spillover Effects Between Treasury Futures and Treasury Prices Based on Second Moment." Firstly, bivariate models of VECM-BEKK-GARCH, VECM-CCC-GARCH, VECM-DCC-GARCH are used to study the mutual volatility spillover effects between treasury futures and treasury prices of the United States and Germany, and the results show that the volatility spillover effects of treasury prices on treasury future prices are more statistically significant and the treasury market plays the key role in price discovery, which are consistent with the conclusions of Chapter3and4.
Secondly, all of the3models show high dynamic correlation coefficients, fixed correlation coefficients of the treasury futures and treasury market, indicating that there is strong linkage and correlation between treasury futures and treasury markets in the United States and Germany. When innovation generates, both futures and treasury markets react to the innovation and transfer the innovation between each other through arbitrage operations, thus affecting the market prices.
Thirdly, the results of the3models show that the dynamic correlation coefficients, fixed correlation coefficients of German treasury future price and treasury price are higher than that of American, further confirming the conclusion of Chapter3that in VECM model the effectiveness of German treasury and treasury futures is higher than that of the American.
Chapter6,"Effect Of Treasury Future Market on the Information Efficiency of Treasury Market".. Firstly, by using first moment and second moment perspectives, the writer proves that the price discovery function of treasury future is weaker than that of treasury in Chapter3,4and5, however, there is bottleneck to study the price discovery function of treasury future. Therefore, different research perspective is adopted to separately study the effect of treasury future on the information efficiency of treasury market instead of contrasting the markets of future and cash:Firstly, using ARIMA-GARCH model, the writer finds that the release of treasury future market in the United Kingdom and South Korea adds new channel and market to reflect the innovation of treasury market, which extends the single track treasury market structure into parallel track structure of future and treasury, strengthening the treasury market system, improving the information transmission efficiency of treasury market in corresponding countries. Thus, the price discovery function of treasury future has been proved.
Secondly, using the ARIMA-GARCH model, which contains dummy variables, the writer finds that there is no significant effect of the release of treasury future market in the United Kingdom and South Korea on the volatility of treasury market in corresponding countries, indicating that there is no certain causal relationship between the improvement and volatility of treasury market information effectiveness after the release of treasury future.
Chapter7,"Conclusions and Recommendations".The price discovery function of treasury future is concluded by studying the researches of the developed countries, and some policy recommendations are suggested for the future development of treasury future market in China from the perspective of price discovery by combining the micro-market theories of liquidity level, transaction costs, proportions of noise traders, hedgers, and proportion of speculators.
Innovations in this paper include:(1) idea:a logical framework with two perspectives four steps is constructed for the analysis of the price discovery function of the price of future;(2) topic:the price discovery function of "treasury future" is quantitatively analyzed for the first time by using the mentioned logical framework;(3) empirical research methods:the generalized impulse response function GIRF is used for the first time in China to study the price discovery function of treasury future on studying the lead-lag relationship between treasury future and price of cash; studying on the contribution to the share of price discovery of treasury future, the IS model、MIS model and PT model are used to study the price discovery function of treasury future for the first time in China, which also simultaneously contrasted the empirical findings of models IS, MIS and PT, avoiding the dependence of conclusion on models; the VECM-BEKK-GARCH, VECM-CCC-GARCH and VECM-DCC-GARCH models are initially used for the study of the mutual volatility spillover effects between treasury future price and treasury price, which also contrasts the empirical findings of models VECM-BEKK-GARCH, VECM-CCC-GARCH, VECM-DCC-GARCH, avoiding the dependence of conclusion on models; in the study of the effect of treasury future market on the information effectiveness of treasury market, the ARIMA-GARCH model, which contains dummy variables is adopted for the study of price discovery function of treasury future for the first time in China;(4) theoretical analysis methods:the empirical findings in Chapter3,4,5and6are demonstrated from the microstructure of treasury future and treasury market, such as the distribution characteristics of institutional investors in treasury future and treasury market, the proportions of hedgers in treasury future market, the characters of treasury as fixed income product, the relative liquidity level of treasury future and treasury market, the relative transaction costs, the relative proportions of noise traders, which is also new in the study of this area in China.
引文
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