摘要
自2010年4月16日推出股指期货以来,我国借鉴了香港股指期货交易的时间模式,即每天在现货市场开盘前和收盘后的各扩展了15分钟交易时间。本文重点研究了我国股指期货在现货交易的前后各扩展的15分钟是否包含影响现货收益率的有用信息。采用价格加权贡献值测量表明股指期货在股市开市前的15分钟交易对价格发现更有显著作用。同时,对T.Hiraki,E.D.Maberly和N.Takezawa提出的模型进行改进,发现股指期货的15分钟效应对次交易日现货收益率有显著影响。
As stock index futures was introduced in our country on 16th April 2010, we take the transaction time mode of Hong Kong, i.e. opening 15minutes earlier than the spot market in the morning, and closing 15 minutes later in the aftermoon. This paper focuses on whether the extended future trades contain useful information on explain spot returns. We use weighted price contribution to confirm that pre-open session plays a more signigicant role in price discovery. Finally, we improve the mode proposed by T.Hiraki, E.D.Maberly and N.Takezawa^[1] to find that the 15 minutes effect has an important influence on sequent spot return.
出处
《数理统计与管理》
CSSCI
北大核心
2012年第6期1110-1116,共7页
Journal of Applied Statistics and Management
