股指期货主力合约转换前后的市场有效性研究  

A Study on the Market Validity before and after the Dominant Contract Conversion of Stock Index Futures

作　　者：林祥友[1] 代宏霞[2] 

机构地区：[1]成都理工大学,成都610059 [2]西南财经大学,成都611130

出　　处：《重庆工商大学学报（社会科学版）》2013年第5期9-15,共7页Journal of Chongqing Technology and Business University：Social Science Edition

基　　金：四川省科技厅软科学计划项目"基于不同数据特征的股指期货价格发现能力的差异性研究";成都理工大学"金融与投资科研创新团队"项目;成都理工大学科研基金资助项目(2011YR10)"股指期货合约存续期价格发现的时变性研究"

摘　　要：分别以股指期货合约在合约序列中的成交量最大、持仓量最大作为判别主力合约的标准,研究两种标准确定的股指期货主力合约转换日的差异性。以主力合约转换前后新主力合约的市场效率系数的变化,研究股指期货主力合约转换日的有效性。对我国沪深300股指期货连续20次主力合约转换进行实证分析,可见持仓量标准确定的主力合约转换日早于成交量标准确定的主力合约转换日,且持仓量标准确定的主力合约转换具有更强的有效性。By taking the maximum trading volume and maximum stocks holding volume in contract series of stock index futures contracts as the standard to discriminate the dominant contracts respectively, the difference of dominant contracts conversion dates of stock futures determined by two kinds of standards is studied. The change of market efficiency coefficient of new dominant con- tracts before and after the dominant contracts conversion is used to study the validity of dominant contracts conversion dates of stock futures. The empirical analysis of consecutive 20 times dominant contracts conversions of China＇ s I-IS300 stock index fu- tures reveals that the dominant contracts conversion dates determined by stock-holding volume standard are earlier than the dates of the dominant contracts conversion determined by stock trading volume standard, furthermore, the dominant contracts conversion determined by the standard of stock holding volume has more strong validity.

关 键 词：股指期货 主力合约 市场有效性 

分 类 号：F830.9[经济管理—金融学]