夜盘交易与期货市场效率  

Night Trading and Effi ciency of Futures Market

作　　者：王柏杰[1] 李爱文[1] 

机构地区：[1]西北工业大学人文与经法学院,陕西西安710072

出　　处：《证券市场导报》2016年第4期63-70,78,共9页Securities Market Herald

基　　金：国家自然科学基金青年基金"资源型地区地方公共投资效率与债务可持续性研究(71303182)";中国博士后基金"我国债券利差与地方债务风险研究(2012M511987)";西北工业大学人文社科创新基金"资源诅咒;政企合谋与区域经济增长研究(3102015RW003)";西北工业大学高层次人才引进基金"最优金融结构与资源型地区经济转型研究(15GH0314)"

摘　　要：基于实施夜盘交易前后SHFE的铝期货交易数据,本文运用R/S分析法、共同因子模型等方法从流动性、信息效率及定价效率角度研究夜盘交易制度对期货市场效率的影响。结果发现:夜盘交易的开展,使得铝期货价格的波动性明显下降,市场的流动性显著提升;在夜盘交易后,铝期货价格时间序列的长期记忆性显著下降,历史信息对铝期货价格的影响明显减弱;由于夜盘交易的开展,铝期货市场在长期对现货市场具有显著的引导作用,且在价格发现过程中的贡献也明显扩大。这表明,夜盘交易的开展改善了铝期货市场的流动性、定价效率及信息效率,对期货市场效率的提升具有重要意义。Based on the data of SHFE Aluminum futures before and after carrying out the Night trading, the paper conducts research about whether the Night trading affects the liquidity, information efficiency and pricing efficiency of futures market by the R/S method and common factor models. It can be found from the results： carrying out the Night trading greatly decreases the futures marker volatility and improving liquidity. The long-term memory of futures prices declines significantly after the Night trading. As a result of night trading of aluminum futures market in the long term on the spot market has significant guiding role in the price discovery process. The above results suggest that Night trading improves liquidity, pricing efficiency and information efficiency of aluminum futures market, and is significant for improving the efficiency of futures markets.

关 键 词：夜盘交易 流动性 定价效率 信息效率 

分 类 号：F830.9[经济管理—金融学]