摘要
如何生成连续数据是期货市场实证分析所面临的首要问题。各国期货市场往往具有不同的流动性格局特征,不同期货市场生成连续数据的方法也应区别对待。目前,我国商品期货大致可分为工业品期货和农产品期货,通过对选定样本区间的数据进行分析,不同类型期货品种的主力合约月分分布、主力合约持续期统计性质等呈现出不同的流动性格局特征。因此,在对我国期货市场进行实证分析时,连续数据的生成应充分考虑到其流动性格局特点。
It is the first matter how to build a continued series in an empirical analysis of futures market.It is different from each other among all kinds of methods of building continued series in which liquidity structures of commodity futures are not same.After analyzing sample data of some commodity futures traded in China by the categories of industry commodity and agriculture commodity,it is showed different commodity futures have different liquidity characteristics,such as month distribution pattern and durat...
出处
《湘潭大学学报（哲学社会科学版）》
CSSCI
北大核心
2008年第2期35-41,共7页
Journal of Xiangtan University:Philosophy And Social Sciences
关键词
期货市场
流动性格局
连续数据
futures market
liquidity structure
continued series
