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.
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