股指期货主力合约转换日效应的实证研究  

An Empirical Study of Stock Index Futures Main Contract Conversion Date Effects

作　　者：林祥友[1] 陈超[1] 易凡琦 

机构地区：[1]成都理工大学商学院,四川成都610059

出　　处：《山东财经大学学报》2017年第3期1-11,共11页Journal of Shandong 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的优化研究"(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)

摘　　要：任何一种股指期货合约存续过程中,都存在着从非主力合约转变为主力合约,再从主力合约转变为非主力合约的过程。以持仓量最大作为主力合约转换的判别标准,以股指期货合约的两类主力合约转换为研究对象,首次采用非参数检验方法,从成交量、持仓量、收益率、流动性、波动性等指标考察我国沪深300股指期货市场的主力合约转换日效应。股指期货从非主力合约转换为主力合约过程中,呈现出显著的成交量放大、成交量放大加速、持仓量放大、持仓量放大加速、流动性增强的市场效应,而收益率降低和波动性减弱的市场效应并不显著;股指期货从主力合约转换为非主力合约的过程中,呈现出显著的成交量缩小、成交量缩小加速、持仓量缩小、持仓量缩小加速、流动性减弱的市场效应,而收益率降低和波动性减弱的市场效应并不显著。There exists in any stock index futures contract duration a process of non-main contracts being con- verted into main contracts and vice versa. With maximum position as the criterion of main contract conversion and two stock index futures main contract conversion as research object, the main contract conversion date effects in Shanghai and Shenzhen 300 stock index futures market are empirically studied via nonparametric test method in terms of such indexes as volume, position, yield, liquidity and volatility. The results show that during the process of non-main contracts being converted into main contracts, the stock index futures present significant market effects of volume am- plification, position amplification, position amplification acceleration and liquidity enhancement while the market effects of yield reduction and volatility reduction are not significant ; and that during the process of main contracts be- ing converted into non-main contracts, the stock index futures present significant market effects of volume reduction, volume reduction acceleration, position reduction, position reduction acceleration and liquidity reduction while the market effects of yield reduction and volatility reduction are not significant.

关 键 词：股指期货 主力合约 转换日效应 非参数检验 

分 类 号：F830.9[经济管理—金融学]