Non-Linear Impact of Chinese Treasury Bond Futures on the Information Content of IRS-Reference-Cited by-同舟云学术

Non-Linear Impact of Chinese Treasury Bond Futures on the Information Content of IRS

Published:2021-10-04 Issue:06 Volume:20 Page:
ISSN:0219-4775
Container-title:Fluctuation and Noise Letters
language:en
Short-container-title:Fluct. Noise Lett.

Author:

Yang Wei¹,Ruan Qingsong¹²,Yin Linsen³

Affiliation:

1. School of Economics and Management, Tongji University, Shanghai 200092, P. R. China

2. UNEP-Tongji Institute of Environment for Sustainable Development, Tongji University, Shanghai 200092, P. R. China

3. School of Financial Technology, Shanghai Lixin University of Accounting and Finance, Shanghai 201209, P. R. China

Abstract

This paper investigates the impact of Chinese Treasury bond (CTB) futures on the information content of interest rate swap (IRS) from a multifractality perspective. We first use multifractal detrended fluctuation analysis (MF-DFA) method and show that the swap rate and the CTB yield exhibit strong multifractality. In addition, employing multifractal detrended cross-correlation analysis (MF-DCCA) method, we find that cross-correlations between the swap rate and the CTB yield are multifractally persistent. Moreover, after the reintroduction of Treasury bond futures, the persistence of cross-correlation between the series is weaker. Our results indicate that the information content of IRS decreased after the re-launch of CTB futures.

Funder

Shanghai Planning Office of Philosophy and Social Science

Publisher

World Scientific Pub Co Pte Ltd

Subject

General Physics and Astronomy,General Mathematics

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219477521500516

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