沪深300股指期货的午间效应和隔夜效应  

Noonand Overnight Effects of the CSI 300 Stock Index Futures

作　　者：黄志勇[1] 孟岩[1] 张腾[2] 

机构地区：[1]南京财经大学金融学院,江苏南京210023 [2]澳门科技大学商学院,中国澳门999078

出　　处：《南京财经大学学报》2016年第6期34-42,共9页Journal of Nanjing University of Finance and Economics

摘　　要：中国目前关于非交易时期信息影响的研究多集中在对股市的"周末效应"和"节日效应"上,而缺少对其他非交易时期和其他市场的研究。本文根据"午间效应"和"隔夜效应"的定义,使用虚拟最小二乘法和ARCH-GARCH模型对在中国金融期货交易所交易的沪深300股指期货的午间休市和晚间休市对期货收益率的影响进行了实证分析。研究发现,沪深300股指期货存在"隔夜效应"和"午间效应",且都为正效应。文中最后给出相应的政策建议。It is very common for most researches to focus on the ＂weekend effect＂ and ＂holiday effect＂ of the non-trading period in the stock market, and neglect other markets and effects. This paper, based on the definitions of the＂ noon effect＂ and ＂overnight effect＂ ,uses the Dummy Variables Method and ARCH-GARCH Model to study the influence of the ＂noon break＂ and ＂evening break＂ on the futures yield in the CSI 300 Stock Index Futures. The result shows that there exist＂ noon effect＂ and ＂overnight effect＂ in the CSI 300 Index Futures, and both are positive effects. Finally, the article gives corresponding policy sug- gestions.

关 键 词：沪深300股指期货 午间效应 隔夜效应 GARCH模型 

分 类 号：F830.91[经济管理—金融学]