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1、ABSTRACTChinareissueditsfirstinterest-ratefuturescontractthatthe5-yearT-bondfuturescontractonSeptember6，，usingsevenhedgingmodels.Theresultsshowthatwhetherinwithinsampleoroutofsample,thehedgingeffectsofsevenmodelsarerelativelyclose,ButthehedgingeffectofOLSmodelisrelativelyb
2、etterinwithinsample.Andthehedgingeffectison5-yearT-bondindexasthecenterwiththelengthoftheaveragematurityofT-bondindextothe5-yearmaturityincreased,andbothendsgraduallyworse.However,theVARmodelandVAR-CC-GARCHmodelbecomerelativelybetermodelinsteadoftheOLSmodeloutofsample,andh
3、edgingeffectincreaseswiththeextensionoftheaveragematurityofT-bondindex,thehedgingeffectof1-3yearsperiodhasonly18%,whileothermaturitieshaveachievedabove85%.TheresultsshowthatthehedgingeffectofChinese5-yearT-bondfuturesisveryeffectivetolong-terminterestraterisk,butworsetosho
4、rt-terminterestraterisk.Thistellsusthattheregulatoryauthoritiesshouldlaunchshort-terminterestratefuturesassoonaspossibletomeetthedemandforshort-terminterestrateriskmanagement.Insummary,thisstudyshowsthatthepricediscoveryfunctionandhedgingfunctionofChinese5-yearT-bondfuture
5、scontracthavebeenagoodplay,whichindicatesthatChinese5-yearT-bondfuturescontractintermsofthecontractdesign,marketsystemdesign,aswellasmarketregulationandotheraspectsareeffective.Thisprovidesanimportantreferencetotheintroductionforshort-termandlong-termT-bondfutures.What'smo
6、re,thetwofunctionsarebenefitfortheformationofTreasuryyieldcurve.Atthesametime,itprovidesthetoolforinterestrateriskmanagementtothemarket.However,the5-yearT-bondfuturescontractdoesnotcoverthefullyieldcurve,itcan'tsatisfyinvestor'sdemandforinterestrateriskmanagementofvariousm
7、aturities.Therefore,tolaunchothermaturityinterestratefutures,improvingtheshortendandlongendofyieldcurve,providingtheinterestrateriskmanagementtoolswithdifferentmaturityforthemarket,isanimportantissuefacedbytheregulatoryauthorities.Keywords:Pricediscovery,Hedging，录研究的背景和意义研
8、究内容和结构安排仓衞研究进展及文献回顾价格发现效率的文献回顾套期保值效果的文献回顾价格发现效率的实证检验研究方法和模型协整检验格兰杰因果检验向量误差修正模型脉冲响应函数方差分解样
