论文部分内容阅读
为研究国外期货交易对国内市场的日内影响,将上海燃料油期货市场超高频数据划分为与国外燃料油期货同步交易与非同步交易两部分建立LOG-ACD模型,从交易久期和价格久期角度研究了国外期货交易对上海燃料油期货市场日内交易行为的影响。结果表明:同步交易与非同步交易时段上海燃料油期货市场行为存在一定的差异;当两个市场同步交易时,由于信息效应的作用使得上海期货市场的交易更密集,波动更频繁;但不同交易时段信息传递效率的绝对差异程度并不太明显,这可以从法律法规限制导致的流动性抑制效应方面进行解释。
In order to study the daily impact of foreign futures on the domestic market, LOG-ACD model was established by dividing the UHF data of Shanghai fuel oil futures market into two parts: synchronous trading and unsynchronized trading with foreign fuel oil futures. The paper studies the effect of foreign futures trading on the intraday trading behavior of Shanghai fuel oil futures market. The results show that the behavior of Shanghai fuel oil futures market is different between synchronous trading and non-synchronous trading. When the two markets trade simultaneously, the Shanghai Futures Market is more intensive and volatile due to the information effect. However, different transactions The absolute difference in the efficiency of information delivery over time is less obvious, which can be explained in terms of the liquidity-suppressing effects caused by regulatory restrictions.