CAJ | 학술논문

选择“2013年9月6日至2014年4月11日国债期货数据”和“2013年1月4日至2014年4月11日国债指数”数据，对国债期货推出设立虚拟变量，建立GARCH、GJR等模型定量分析了国债期货发挥的作用，得出了在引入国债期货交易之后，国债现货市场中信息的“负杠杆效应”有所改善，投资者由非理性趋向理性，国债现货市场中的市场风险有效地降低，但国债期货对国债现货市场波动性的影响十分有限等结论，并结合中国国债市场实际情况分析解释了重推国债期货后市场上信息的传递速度变慢这一与理论不符的结果，证明了国债期货合约的功能发挥有助于市场形成完善的基准收益率体系并有助于有效规避利率风险。
선택“2013년9월6일지2014년4월11일국채기화수거”화“2013년1월4일지2014년4월11일국채지수”수거，대국채기화추출설립허의변량，건립GARCH、GJR등모형정량분석료국채기화발휘적작용，득출료재인입국채기화교역지후，국채현화시장중신식적“부강간효응”유소개선，투자자유비이성추향이성，국채현화시장중적시장풍험유효지강저，단국채기화대국채현화시장파동성적영향십분유한등결론，병결합중국국채시장실제정황분석해석료중추국채기화후시장상신식적전체속도변만저일여이론불부적결과，증명료국채기화합약적공능발휘유조우시장형성완선적기준수익솔체계병유조우유효규피리솔풍험。
With the data of treasury bond futures ( 09/06/2013—04/11/2014 ) and the government bond index ( 01/04/2013—04/11/2014 ) , we establish some dummy variable for lunching treasury bond futures to set up the GARCH , GJR models to analyze the role of treasury bonds futures .The result shows that negative leverage effect was improved , investors become more ra-tional, market risk was reduced.However, the effect of the futures trading to the market volatility rate is extremely limited .The pa-per explains the inconsistency of the experimental data with the old theory which holds that the transmission of market information would be slowdown .In this paper , we proved that the treasury bond futures would contribute to development of basic interest rate of financial market , and can provide a hedge against interest rate changes .