股指期货主力合约转换的判别法则选择研究  

A Study on the Choice of the Dominant Contract Transferring Rule Based on the Stock Index Future

作　　者：林祥友[1] 邓传红[1] 何帅[1] 

机构地区：[1]成都理工大学商学院,四川成都610059

出　　处：《兰州财经大学学报》2017年第2期33-43,86,共12页Journal of Lanzhou University of Finance and Economics

基　　金：四川省软科学研究计划项目"沪港通对A+H交叉上市公司股价同步性的影响研究"(2015ZR0228);四川省教育厅人文社科重点项目"股指期货主力合约转换的判别法则优化研究"(14SA0036);四川省大学生创新创业训练计划项目"XBRL财务报告的信息效率研究"(201510616070);国家大学生创新创业训练计划项目"沪港通对沪深港股市竞争关系的影响研究"(201610616032)的资助

摘　　要：该文分别以日低频数据和1分钟高频数据作为数据基础,以持仓量最大标准和成交量最大标准作为主力合约转换的判别标准,构建主力合约转换的4类判别法则,研究不同判别法则确定的股指期货主力合约转换时点的差异性和有效性。对我国沪深300股指期货连续10次主力合约转换进行实证分析,得到的结论是:以不同判别法则确定的主力合约转换时点存在明显的差异性,以持仓量最大标准确定的主力合约转换时点比以成交量最大标准确定的主力合约转换时点更早,以高频数据确定的主力合约转换时点比以低频数据确定的主力合约转换时点具有更强的时效性。其中,基于低频数据的持仓量最大标准和基于高频数据的成交量最大标准的判别法则是股指期货主力合约转换的最优选择。Based on the daily low frequency data and high frequency data per minute, taking the maxi- mum trading volume and open interest as criterion of dominant contract transferring. This paper aims at determining four kinds of rule of Stock Index future in transferring dominant contract and doing a research on the difference and validity of the dominant contract＇ s transferring time - points which is determined by four criterion. This paper does a empirical analysis for consecutive 10 times of transferring of dominant contracts from the CSI 300 stock index futures Market. The conclusion of this paper is： there is obvious difference in dominant contract＇ s transferring time - point if determined by different criteria, the transfer- ring time -point based on open interest is usually earlier than those based on trading volume, it is more time - effective if it is based on high frequency data. The criterion based on the maximum open interest of low frequency data as well as based on the maximum trading volume of high frequency data was the best choice in transferring the dominant contracts of Stock Index future.

关 键 词：股指期货 主力合约 成交量 持仓量 低频数据 高频数据 

分 类 号：F830.91[经济管理—金融学] F224