초록 열기/닫기 버튼
This empirical study examines the short-term dynamic lead-lag relationship between five-year Chinese government bond futures index and its underlying spot index, using daily data from September 06, 2013 to August 31, 2016. We carry out unit root test, Johansen-Juselius cointegration test, Granger causality analysis, impulse response function analysis, and variance decomposition analysis. The empirical results of this paper reveal that five-year Chinese government bond futures and spot level variables are non-stationary time series data with unit root, but the first differences in the logarithm of the prices are stationary. As a result of the cointegration test, it was confirmed that there is no long-term equilibrium relationship between the two level variables (price). Lastly, the results of Granger causality, impulse response functions, and the variance decomposition analysis show that the returns of five-year Chinese government bond futures one-sidedly lead the underlying spot returns. This means that the five-year government bond futures market is more efficient in China. Also, these results are consistent with the results of previous studies, and are expected to be useful for traders, regulatory bodies and practitioners for several reasons, such as price discovery, hedging and arbitrage opportunities.
