中文摘要：

在成交量和持仓量持续低迷背景下,探讨我国国债期货在期货-ETF-现货关系中的角色。将国债期货成交量和持仓量作为解释变量引入VECM-MVGARCH模型,综合考虑国债期货交易不活跃对国债三个市场间价格发现和波动性溢出的影响。结果发现：国债期货较低的市场流动性和市场深度并未影响其领先国债ETF和国债现货吸收新信息的能力,国债期货仍是价格发现和波动溢出的领先者。研究结果为完善我国国债期货市场提供了经验证据。

英文摘要：

With the continually thin trading volume and open interest of China＇s treasury bond futures market,this paper aims at examining whether this market can still function well in the price discovery.Based on the daily sample data of Chinese treasury bond futures,ETF and its spot,this paper employs a VECM-MVGARCH model and by adding explanatory variables of trading volumes,open interests of treasury bond futures,considers the potential effects of thin trading in China＇s treasury bond futures on market return and volatility spillovers.The empirical results show that in spite of its limited market liquidity and depth,China＇s treasury bond futures still leads the price discovery and market volatility spillovers,being able to absorb new information more quickly than its spot and EFF market.These results are expected to benefit a further development of China＇s treasury bond futures market in the future.