The Impact of Futures Trading on the Spot Market for Treasury Bonds

Critics of futures markets contend that futures trading destabilizes spot prices and raises price levels of the underlying treasury bonds, while the proponents claim that futures trading improves the information content and stability of spot prices. To investigate these conflicting viewpoints, this paper examines the price behavior of treasury bonds at three critical time points: a) as they enter, retain, and exit the cheapest-to-deliver status; b) as they approach the futures delivery date; and, c) as they cease to be deliverable. An empirical analysis based on a rich data set of daily bond prices over thirty-four delivery quarters reveals little support for the critics’ view of futures trading.     

Valuation and Optimal Exercise of the Wild Card Option in the Treasury Bond Futures Market

The Chicago Board of Trade Treasury Bond Futures Contract allows the short position several delivery options as to when and with which bond the contract will be settled. The timing option allows the short position to choose any business day in the delivery month to make delivery. In addition, the contract settlement price is locked in at 2:00 p .m . when the futures market closes, despite the facts that the short position need not declare an intent to settle the contract until 8:00 p .m . and that trading in Treasury bonds can occur all day in dealer markets. If bond prices change significantly between 2:00 and 8:00 p .m ., the short has the option of settling the contract at a favorable 2:00 p .m . price. This phenomenon, which recurs on every trading day of the delivery month, creates a sequence of 6-hour put options for the short position which has been dubbed the “wild card option.” This paper presents a valuation model for the wild card option and computes estimates of the value of that option, as well as rules for its optimal exercise.     

国债期货来了

在股指期货正式推出两年后,2012年4月,国债期货仿真合约开始试运行。参与仿真测试的公司有10家左右,包括期货公司、券商和银行,试点内容主要是中金所推出的国债期货仿真合约的所有环节。银河期货有限公司(以下简称"银河期货")正是试点公司之一。"现在市场上绝大多数都是商品期货。国债期货的推出对于整个期货品种,特别是金融期货品种的丰富,意义非常大。股指期货、国债期货,再加上未来可能推出的外汇期货,有了这三样,我国的金融期货市场体系就基本完备了。"银河期货副总经理周雷告诉记者。     

股指期货与股票市场定价效率问题

股指期货的推出,大大提高了股票市场的定价效率.在无套利均衡市场上,股指期货价格由相关股票组合的价格及持有成本决定,股票现货价格成为影响股指期货价格的主要因素.但在动态非均衡市场上,股指期货的价格形成集中并传递大量信息,这些信息通过股指期货市场与股票市场间的套利机制及时传递到股票市场,增加相关股票组合价格的信息含量,引导和发现现货价格,从而提高股市的定价效率.     

Idiosyncratic Variation of Treasury Bill Yields

I document a dramatic increase in the importance of two types of variation in Treasury bill yields beginning in the early 1980s. The first is idiosyncratic variation in individual short-maturity (less than three months) bill yields. The second is a common component in Treasury bill yields that is not shared by yields on other instruments, such as short-maturity privately-issued instruments or longer-maturity Treasury notes and bonds. Some evidence suggests the first type reflects increased market segmentation. These results have important implications for the calibration and testing of no-arbitrage term structure models and interpreting tests of the expectations hypothesis.     

The Quality Delivery Option in Treasury Bond Futures Contracts

This paper uses three methods to estimate quality option values for CBOT Treasury bond futures contracts. It presents evidence regarding: (1) payoffs from exercising this option at delivery, (2) estimates from a T-bond futures pricing model that incorporates this option, and (3) estimates obtained from an exchange option pricing formula. The results indicate that this option is worth considerably less than reported by Kane and Marcus (1986a) . For example, payoffs obtained by switching from the bond cheapest to deliver three months prior to delivery to the one cheapest at time of delivery average less than 0.30 percentage points of par.     

政府债券市场流动性研究

政府债务管理的关键是建立具有高流动性的二级市场。影响政府债券市场流动性的因素包括产品设计、市场结构、交易机制、信息披露和税收等问题。提高市场流动性的途径包括交易的竞争性结构，将税收对流动性的负面影响最小化，提高交易信息的透明度，标准化交易和清算操作，市场参与者的多元化，确定核心资产，满足基准债的市场需求，完善回购市场和衍生工具市场的功能，培育机构投资者，充分的市场监管等。     

我国国债期货的市场功能研究——基于利率市场化改革基本完成前后的实证对比分析

2015年10月24日,中国人民银行宣布对商业银行和农村合作金融机构等不再设置存款利率浮动上限,我国的利率市场化改革迈出最后重要一步,可以说我国的利率市场化改革基本完成。选取该时点前后两个时间段的国债期货和现货价格数据进行对比研究,运用格兰杰因果检验、VECM模型以及脉冲响应函数分析和方差分解分析,认为利率市场化改革基本完成后期货市场的价格发现功能得以增强。同时在VECM模型的基础上计算最优静态套保比率和建立VECM-BEKK-GARCH模型得出最优动态套保比率,并对其进行绩效评价,发现利率市场化改革基本完成后期货市场套保效果有所下降,但仍然能规避一定程度的利率风险。据此对我国期货市场建设提出相关建议。     

期货市场交易结构、价格形成机制及其效率研究

做市商机制和连续竞价机制是现代期货市场主流的两类交易机制，连续竞价机制则成本较低，价格信号反应灵敏；做市商机制透明、公正，市场连续性较好，代表着期货市场交易机制的未来发展方向。通过对期货市场微观交易结构及价格形成机制的模型研究，结合我国的实际情况，比较考察了几种典型的期货交易机制在不同交易结构下的价格形成效率，对我国期货市场转型完善时期具有现实意义。     

Futures Trading,Spot Price Volatility and Market Efficiency: Evidence from European Real Estate Securities Futures

In 2007 futures contracts were introduced based upon the listed real estate market in Europe. Following their launch they have received increasing attention from property investors, however, few studies have considered the impact their introduction has had. This study considers two key elements. Firstly, a traditional Generalized Autoregressive Conditional Heteroskedasticity (GARCH) model, the approach of Bessembinder & Seguin (1992) and the Gray’s (1996) Markov-switching-GARCH model are used to examine the impact of futures trading on the European real estate securities market. The results show that futures trading did not destabilize the underlying listed market. Importantly, the results also reveal that the introduction of a futures market has improved the speed and quality of information flowing to the spot market. Secondly, we assess the hedging effectiveness of the contracts using two alternative strategies (naïve and Ordinary Least Squares models). The empirical results also show that the contracts are effective hedging instruments, leading to a reduction in risk of 64 %.     

The Effect of Futures Market Volume on Spot Market Volatility

There has been considerable interest, both academic and regulatory, in the hypothesis that the higher is the volume in the futures market, the greater is the destabilizing effect on the stock market. We show that conventional approaches, such as adding exogenous variables to GARCH models, may lead to false inferences in tests of this question. Using a stochastic volatility model, we show that, contrary to regulatory concern and the results of other papers, contemporaneous informationless futures market trading has no significant effect on spot market volatility.     

The Impact of Single Stock Futures on Market Efficiency and Volatility: A Dynamic CAPM Approach

The concerns regarding regulations of futures markets and their destabilizing ability are unresolved in both developed and developing markets. Following stringent regulations of single stock futures (SSFs) for resumption episode after financial crises, this study addresses this concern and investigates the destabilizing impact of SSFs on the underlying stocks in an emerging economy using data of companies listed in the Karachi Stock Exchange between 1999 and 2008. Specifically, the study explores whether SSFs have caused a simultaneous increase in the volatility and operational efficiency of their underlying spot market counterparts. The results reported in the study show that the introduction of SSFs has no significant impact on market efficiency and volatility of SSFs underlying stocks and non-SSFs stocks. The results affirm that SSFs have, at least, no destabilizing impact on the underlying stocks.     

国债期货跨期价差分析与统计套利研究

在我国国债期货市场活跃度与交易量稳步提升的现实基础上,本文探究国债期货跨期统计套利策略的有效性以及如何在投资实践中发挥最大效用。首先基于协整理论构建套利策略,回测结果显示在头寸较少时能够取得有效的正向收益。针对收益进行阶段性分析后可知,跨期价差的平稳震荡有助于实现收益最大化,而价差的趋势运行则会降低胜率。为提供策略择时思路,针对跨期价差进行理论定价分析,并从理论与实际交易结构两大层面探究影响因素,最后基于历史视角结合价差的显著趋势行情验证上述影响因素在实际判别中的可靠性。     

对期货市场功能定位的再认识

期赁市场是随着现代市场经济的发展而产生和发展的,是市场经济的内在规律使然.本文认为,以风险和资源再配置为基础,以基于分析研究、价格预测以及生产经营为基础的不同的比较优势的充分发挥为条件,在宏观层面,期货市场可以起到创造社会价值、实现精细化社会分工的功能;在产业层面,可组织和监管市场,发挥价格和信息外溢的功能,能推动增强企业和产业竞争力;在微观层面,可实现价格发现和套期保值功能.为充分发挥期货市场的四大功能,需要纠正对期货市场的错误认识,优化监管、理性运用期货市场.     

票据融资“市场化”

利率市场化是我国金融体系改革不可逆转的趋势,今年以来,央行在两次降息的同时,首度允许存款利率上浮,并将贷款利率下浮区间扩大。随着改革步伐加快,商业银行存贷款利差收窄不可避免,传统的依赖于法定利差的盈利模式将难以持续,因此迫切需要转变经营方式,通过大力发展金融市场业务和中间业务来实现可持续发展,而票据业务有望在其中发挥极为重要的作用,并在推动商业银行经营转型的过程中实现自身的转型发展。在利率市场化的推进过程中。