中国股指期货跳跃对股指现货跳跃的影响研究——基于同步与延伸交易的视角  

Jump effects of stock index futures on its underlying spot index in China: A perspective of synchronous and extending trading

作　　者：王明涛[1,2] 孙西明 陈云 WANG Ming-tao;SUN Xi-ming;CHEN Yun(School of Finance,Shanghai University of Finance and Economics,Shanghai 200433,China;Shanghai Key Laboratory of Financial Information Technology,Shanghai University of Finance and Econom-ics,Shanghai 200433,China)

机构地区：[1]上海财经大学金融学院,上海200433 [2]上海市金融信息技术研究重点实验室,上海200433

出　　处：《管理科学学报》2018年第8期64-82,共19页Journal of Management Sciences in China

基　　金：国家自然科学基金重大研究计划重点资助项目(91546202);上海市科委"科技创新行动计划"资助项目(14511107202;15511107302)

摘　　要：利用沪深300股价指数及其当月期货连续合约5分钟高频数据,基于logit和回归模型分析了股指期货同步及延伸交易时段价格跳跃对股指现货跳跃的影响,并检验了不同市场行情下结论的差异.研究结果表明:股指期货同步及提前交易时段价格跳跃对标的指数跳跃有显著影响,且在熊市中影响更大.无论同步还是提前交易时段,股指期货向上(向下)跳跃对标的指数向上(向下)跳跃有显著正向影响,且分别在牛市、熊市更为显著.股指期货提前交易时段跳跃对现货开盘时段指数跳跃的影响主要来自其开盘后前5分钟,且具有递减效应,其影响程度大于股指期货同步交易时段跳跃对股指现货跳跃的影响.前一日延迟交易时段股指期货跳跃对标的指数开盘时段的跳跃没有显著影响.Using 5-minute high-frequency price data of CSI 300 stock index futures and its underlying index, this paper analyses jump effects of Stock index futures on spot index during synchronous and extending trading session by logit and regression models. The conclusions are examined under different market conditions. The results indicate that price jumps of stock index futures have significant influences on its underlying index jump during synchronous and pre-opening sessions, especially in bear markets. No matter in synchronous or in pre- opening trading periods, up-jumps （down-jumps） of stock index futures have a significantly positive effect on up-jumps（down-jumps） of the underlying index, and are more significant in bull （bear） markets respective- ly. The jump effects of stock index futures during the pre-opening trading session on the spot index jumps dur- ing its opening period mainly exist in the first five minutes of the pre-opening trading session and have dimin- ishing effects. The degree of influence is greater than the jump effect of stock index futures at same trading pe- riod on spot index jump. The stock index futures jumps during post-closing trading session the day before do not have a significant influence on the underlying index jumps at its opening period.

关 键 词：股指期货 股指现货 跳跃 同步及延伸交易 

分 类 号：F803.91[经济管理]