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  

Intraday Information Structure of Chinese Stock Index Futures and Stock Spot Markets: Based on Trading and Non-trading Periods

作　　者：刘庆富[1] 华仁海[2] 

机构地区：[1]复旦大学金融研究院,上海200433 [2]南京财经大学金融学院,南京210003

出　　处：《复旦学报（社会科学版）》2012年第3期10-19,共10页Fudan Journal（Social Sciences）

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

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。This paper investigates intraday information transmission paths, directions, and degrees between trading and non-trading information of HS300 index futures and HS300 index markets based on trading and non-trading periods in order to seek intraday information structure of Chinese stock index futures and stock spot markets. The empirical results show that there are no divinable relations between a. m. trading and p.m. trading except for p.m. trading information in spot market, whereas there are certain extent forecasts in price difference correction terms. There exist forecasting abilities from overnight information of spot market to a.m. trading of futures market, from noon information of spot market to p. m. trading of futures market, and from overnight information of futures market to a.m. trading of spot market, but the noon information of futures market fails to forecast the p.m. trading of spot market. And the impacts of overnight information on intraday trading are stronger than the noon information＇s. There are prominent forecasting abilities in both returns and volatility from pre-opening trading of futures market to intraday trading of spot market and from post-closing trading of futures market to overnight of spot market respectively. Correspondingly, the effect from post-closing trading to overnight is larger than that from pre-opening trading to intraday trading.

关 键 词：股指期货股票现货交易 非交易 信息结构 

分 类 号：F832.5[经济管理—金融学]