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Research on Basic Functions of Treasury Bond Futures in China

Author: ZhengXueFeng
Tutor: ChenMingXin
School: Huaqiao University
Course: Finance
Keywords: Treasury Bond Futures Price Discovery Hedging Arbitraging Basic Functions
CLC: F724.5
Type: Master's thesis
Year: 2013
Downloads: 3
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The Shanghai Securities Exchange (SSE) began to trade Government/Treasury bonds (T-bonds) and Treasury bills (T-bills) futures contracts in late1993and suspended their trading in May1995by order of the ChinaSecurities Regulatory Commission (CSRC). This short-lived government bondfutures market experienced a series of major trading scandals. But nowadays,with the improvements in the financial market and the development in thetreasury bond market and skills in governance, it has become obvious that weshould reconsider the possibilities of recovering the treasury bond futurestrade and rebuilding the market.In a general way, price discovery, hedging and arbitrage are considered tobe the three major functions of a futures market, treasury bond futures marketis no exception. Treasury bond futures is one of the most important innovativefinancial products in the word, it plays a very significant role in theinternational financial market. According to statistics from the Bank forInternational Settlement (BIS) and National Futures Association (NFA), in2010, interest rate futures are taking90%of the global financial futurestrading volume, and the treasury bond futures are accounting for42%of theinterest rate futures traded. In the meantime,28exchanges from26countriesand regions in the word had treasury bond futures contracts traded. Thetreasury bond futures have special significance to the marketization of theinterest rates, the hedging of financial institutions and the solution of marketrisks. At present, the treasury bond futures will be listed before long in Chinaand the government has carried out emulational treasury bond futures tradesbefore the formal launch of treasury bond futures.The purpose of this article is to empirically investigate the basic functionsof treasury bonds future in Chinese emerging market taking advantage of dataof treasury bonds future trading simulation in order that this article is able toprovide reference and guidance for recovering the treasury bond futures trade and rebuilding the market. This article is hoped to strengthen people’sperception of treasury bond futures in order to contribute to show a more openand transparent treasury bond futures. At the same time, this article is able toprovide forward-looking thinking about not only the development of China’streasury bond futures in the future, but also the the development of China’sfutures industry and financial derivative products.

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CLC: > Economic > Trade and Economic > China's domestic trade and economic > Circulation of commodities > Futures Trading
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