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沪深300股指期货市场在上市运行近两年后,需要根据市场运行质量对最小报价单位等交易制度进行优化设计。在已有模型仅通过流动性或波动性等单一指标分析基础上,扩展为流动性与波动性相结合的分析模型,并采用股指期货市场高频数据进行计量分析,结果表明:降低最小报价单位能够提高市场流动性和减少市场波动性,但对市场波动性的影响更大。有鉴于此,决策者需要综合权衡市场流动性和波动性来优化最小报价单位的设置。
Shanghai and Shenzhen 300 stock index futures market in the market two years after the operation, the market needs to be based on the quality of the minimum quotation unit and other trading system to optimize the design. Based on the analysis of single indicators, such as liquidity and volatility, the existing model is extended to an analytical model combining liquidity and volatility, and the high-frequency data of stock index futures market are used for the measurement and analysis. The results show that the minimum quoted unit It can improve market liquidity and reduce market volatility, but it has a greater impact on market volatility. In view of this, policymakers need to optimize the setting of the minimum quotation unit by comprehensively balancing market liquidity and volatility.