主力合约转换对股指期货市场质量的影响——基于双重差分模型的研究  

A Study on the Impact of Dominant Contract Conversation on the Stock Index Futures Market Quality Based on the Difference in Difference Model

作　　者：林祥友[1] 

机构地区：[1]成都理工大学商学院,四川成都610059

出　　处：《南京财经大学学报》2013年第5期60-67,共8页Journal of Nanjing University of Finance and Economics

基　　金：西南财经大学"中央高校基本科研业务费专项基金项目"(项目编号:JBK120210)"股指期货市场发展和合约存续中价格发现能力的时变性研究";成都理工大学"金融与投资优秀科研创新团队培育资助"项目(项目编号:KYTD201303);成都理工大学科研基金资助项目(项目编号:2011YR10)"股指期货合约存续期价格发现的时变性研究"的资助

摘　　要：以股指期货合约在合约序列中的持仓量最大作为判别主力合约的标准,确定股指期货主力合约转换日。以我国沪深300股指期货市场10次主力合约转换中的新主力合约构造处理组,以同期并存的10个非主力合约构造控制组,采用双重差分模型研究股指期货主力合约转换前后的市场质量包括市场流动性、波动性和有效性的变化。得到的结论是:股指期货主力合约转换后新主力合约市场流动性增强,波动性减弱,有效性增强,股指期货新主力合约的市场质量得到提高。According to the maximum open interest standard, the dominant contract conversation dates are determined. With the difference in difference model, the liquidity, volatility and efficiency of stock index futures market before and after dominant contracts conversation are studied in this paper. The study reveals an increase in liquidity of dominant contract, a de- crease in volatility of dominant contract and an increase in market efficiency coefficient of dominant contract after dominant con- tracts conversation. So the conclusion is drawn that the overall market quality of the stock index futures dominant contract is getting improved after dominant contract conversation.

关 键 词：股指期货 主力合约 市场质量 双重差分模型 

分 类 号：F830.91[经济管理—金融学]