The Impact of Financial Futures on the Cash Market for Treasury Bills
研究国库券期货交易对现货市场收益率波动的影响，发现期货交易初期降低波动，但交易量增大后效果消失甚至可能增加波动，且可交割国库券在交割前存在小幅溢价。
This paper is concerned with the effect of futures trading in Treasury bills on the volatility of yields in the cash market. It is found that futures trading led to a decrease in volatility initially, but the effect disappeared when futures volume became large and possibly resulted in increased volatility in the secondary cash market. The results also indicated that the deliverable bill appears to sell at a small premium relative to the adjacent maturities prior to the delivery date.