摘要
采用我国沪深300股指期货推出前后沪深300股指各4年的日交易数据,从沪深300股指市场的成交量、收益率、流动性和波动性等指标角度,使用Wilcoxon—Mann—Whitney非参数检验方法和双重差分模型DID研究沪深300股指市场的股指期货到期日效应,得到的结论是:在沪深300股指期货合约的到期日,沪深300股指市场不存在显著的成交量效应和收益率效应,却存在显著的流动性效应和波动性效应。
With the daily data of CSI 300 stock index before and after the CS1 300 stock index tutures implemented in 2010, from the angle of trading volume, return, liquidity, and volatility, using the Wilcox- on- Mann -Whitney Nonparametric Test and the difference in difference model, the expiration day effects of stock index futures are studied in this paper. The conclusions are drawn as the follows： in the CSI 300 securities market, the trading volume effect and the return effect are all not significant, while the liquidity effect and volatility effect are all significant on the expiration day of the CSI 300 stock index futures.
出处
《兰州财经大学学报》
2016年第1期75-82,共8页
Journal of Lanzhou University of Finance and Economics
基金
四川省软科学计划项目"融资融券交易制度对证券市场质量的影响研究"(2014ZR0211)
四川省软科学计划项目"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)
成都理工大学"金融与投资优秀科研创新团队培育资助"项目(KYTD201303)的资助
关键词
证券市场
股指期货
到期日效应
非参数检验
双重差分模型
securities market
stock index futures
expiration - day effect
nonparametric test
difference in difference model
