中国国债期货与现货市场间的动态价格发现与不对称波动性溢出

This study investigates the price discovery performance and volatility transmission between China's T-bond futures markets and underlying spot markets reprehensively by a recursive information leadership share model and an asymmetric VECMBEKK-GARCH model. The 5-year and 10-year T-Bond futures markets have been found to play a dominant role in the price discovery process at most of the period. However, when the market falls rapidly, futures market is more likely to overreact to market crush due to the higher leverage and liquidity. Futures prices tend to fall sharply and the futures bases expand simultaneously, which will weaken the efficiency of price discovery and information transmission of the futures market. Moreover, based on the asymmetric ECM-GARCH model, the results show a strong bidirectional interdependence of conditional volatility between both markets and a significant positive impact of the expansion of futures basis to the futures market volatility. © 2021 Science China Press.