关键词: 利率期货, 信息效率, 波动性冲击

Abstract: Introduction of interest rate futures results in some extent dynamic shock and information transfering in emerging markets.Using Generalised Autoregressive Conditional Heteroskedasticity (GARCH) and variance ratio(VR) model,this paper tests the volatility shock and information transfering effect by 90 days interest rate future in Hong Kong market.The empirical studies releave that shock effect by volatility disturbing moves quickly to normal-adjusted level after introducing interest rate future.The half-life of volatility shocks reduced sharply,but volatility remarkably increased.Menwhile,the return of spot market is close to the process of random walk after introducting interest rate futures,which means the price reflects all information and the efficiency of information transfering is enhanced.

Key words: interest rate futures, information efficiency, volatility shock