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针对股指期货非季月合约存续期较短这一特点,按一定的标准将股指期货非季月合约2个月的存续期划分为合约上市期、主力合约期、非主力合约期、合约交割期等阶段,采用单位根检验、协整检验、格兰杰因果检验、脉冲响应分析等方法,利用各阶段5分钟或1分钟高频交易数据对股指现货、股指期货主力合约、股指期货非主力合约的价格引导关系进行实证分析,得出的结论是股指期货非季月合约在其存续期内的价格引导能力具有明显的时变性特征,股指期货和现货市场的跨市场监管者和交易者需要根据股指期货合约价格引导关系的时变性来合理制定自身的监管策略和交易策略。
In view of the characteristics of the short duration of non-seasonal contract of stock index futures, the two-month duration of non-seasonal contract of stock index futures is divided into contract listing period, main contract period, non-main contract period and contract delivery period And other stages, using unit root test, cointegration test, Granger causality test, impulse response analysis and other methods, the use of five or one-minute high-frequency trading data in each stage of the stock index, stock index futures contract, stock index futures non-main contract Empirical analysis of the relationship between the price guide, concluded that the non-seasonal contract index futures contract in the duration of its ability to guide the time has obvious characteristics of time-varying, stock index futures and spot market cross-market regulators and traders need to be based on Stock index futures contract price guide the relationship between the time-varying to reasonably develop their own regulatory strategies and trading strategies.