中国股指期货与股票现货市场的日内信息结构研究——基于交易和非交易时段的视角

发布时间：2018-06-08 21:49

本文选题：股指期货 + 股票现货　；参考：《复旦学报(社会科学版)》2012年03期

【摘要】：为探索我国股指期货与股票现货市场的日内信息结构,本文从交易和非交易时段出发,研究了沪深300指数期货与沪深300指数现货市场日内交易和非交易信息之间的信息传递路径、传递方向及其影响程度。实证结果显示:除现货下午交易信息外,上午交易和下午交易之间不具有必然的预测关系,而价差修正项却存在一定的预测作用。现货隔夜信息对期货上午交易与现货午休信息对期货下午交易均具有预测能力;期货隔夜信息对现货上午交易也具有预测能力,而期货午休信息对现货下午交易的预测作用并不存在;且与午休信息相比,隔夜信息对日间交易的影响更大。期货提前交易对股票现货日内交易与期货延迟交易对股票现货市场隔夜的收益及其波动均具有显著的预测能力,相对而言,延迟交易对股票隔夜的影响力要大于提前交易对股票日内交易的影响力。
[Abstract]:In order to explore the intraday information structure of stock index futures and stock spot market in China, this paper starts from the trading and non-trading periods. This paper studies the information transmission path, the direction of information transfer and the influence degree between the Shanghai and Shenzhen 300 index futures and the spot market of Shanghai and Shenzhen 300 index. The empirical results show that there is no inevitable predictive relationship between morning trading and afternoon trading except for spot afternoon trading information. Spot overnight information can predict futures morning trading and spot lunch break information for futures afternoon trading. Futures overnight information can also predict spot morning trading. The futures lunch break information does not predict the spot afternoon trading, and compared with the lunch break information, the overnight information has more influence on the day trading. Futures trading in advance has significant predictive ability to stock spot intraday trading and futures delayed trading to overnight earnings and fluctuations in the stock spot market. Delayed trading has more influence on stock overnight than early trading on intraday trading.
【作者单位】：复旦大学金融研究院;南京财经大学金融学院;
【基金】：国家自然科学基金项目(项目批准号:71073026,70873055) 教育部人文社会科学规划项目(项目批准号:09YJC790044,08JA790064) 上海市哲学社会科学规划项目(项目批准号:2010BJB015)的资助
【分类号】：F832.5;F224

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