Abstract
Firstly, based on the analysis of the Treasury bond market development situation in our country, adopting the improved GJR-GARCH model, by using the method of adding dummy variables in the model, to study macroeconomic announcements effect on the asymmetric volatility of treasury bond returns. We further divide macroeconomic announcements into real economy announcements and monetary policy announcements, to study the difference of the impact on different term bonds. Overall, the longer the maturity, the volatility is more affected by monetary policy and real economy announcements. Meanwhile, market absorbs monetary policy and real economy announcements quickly, namely short impact time. And real economy announcements affetcts more compared to monetary policy announcements. For monetary policy announcements, bad news affects more, while for the real economy announcement, good news affets more.In addition, regular announcements’ impact is generally greater than that of irregular announcements. For regular announcements, bad news affects more, while for the irregular announcements, good news affets more.This article also analysis the impact of treasury futures on the liquidity of treasury spot market. With control of the market level and bond level variables, empirical research finds that the launch of treasury bonds futures can significantly increase treasury liquidiy of the inter-bank market, while reducing the trading price deviation, matching the purpose of financial regulators for launching bond futures. Bond futures reduce price deviation significantly in exchange bond market, which is mainly due to the exchange bond market trading is not active, so as to make the investors in the use of national debt futures and spot trading strategy of national debt, in the exchange market may not be able to quickly find the treasury trading positions to meet its funding needs. Inter-bank bond market trading has become the main place of bond trading, overall national debt futures introduction can significantly enhance the liquidity of the market.
| Date of Award | 3 Aug 2016 |
|---|---|
| Original language | Chinese (Traditional) |
| Awarding Institution |
|
| Supervisor | Junbo WANG (Supervisor) |
Cite this
- Standard