Author(s)

Lixia Gao ¹, Li Han ¹

Affiliation(s)

¹ Qufu Normal University, Rizhao, Shandong, 276800, China

Corresponding Author

Lixia Gao

ABSTRACT

Since the listing of China's treasury bond futures, the fluctuation of the Treasury bond market is more frequent, and the pricing efficiency of the Treasury bond market has attracted more and more attention. Therefore, based on the development status of the Treasury bond futures market, this paper studies and analyzes the pricing efficiency of China's treasury bond futures market through the implied repo interest rate IRR, and summarizes the targeted suggestions to improve the information efficiency and pricing ability of China's treasury bond futures market.

KEYWORDS

Treasury bond futures, Pricing efficiency, Arbitrage irr, Price discovery

CITE THIS PAPER

Lixia Gao, Li Han. Research on Pricing Efficiency of Treasury Bond Futures Market. Financial Engineering and Risk Management (2021) 4: 1-8. DOI: http://dx.doi.org/10.23977/ferm.2021.040501.

REFERENCES

[1] Treasury bond futures paper https://max.book118.com/html/2017/0823/129633819.shtm.
[2] Chen Rong, Ge Jun. pricing of China's treasury bond futures and implied options [J]. Mathematical statistics and management, 2017 (2)
[3] Fang Yonghua, Yang Shiwei. Information transmission and volatility spillover test of China's treasury bond futures market [J]. Research on technology, economy and management, 2015 (8)
[4] Wang Jinzhong, Hu Xiaofan. Research on market efficiency of China's treasury bond futures [J]. Economic review, 2015 (6)
[5] Xia Hua, Chen Hengsheng, Wang Zhen. Research on pricing efficiency of China's treasury bond futures market [J]. Financial market research, 2020 (09): 89-96

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