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股指期货的流动性和冲击成本对机构投资者非常重要,本文从各项冲击成本测算方法中选出适合中国股指期货市场的冲击成本度量公式,并对中国沪深300股指期货各合约的交易高频数据加以实证研究,得出以下结论:主力合约冲击成本小、非主力合约冲击成本大,买入和卖出冲击成本无显著差异。主力合约冲击成本随着单笔下单数增加而增加,基本符合指数增加的模式。主力冲击成本与振幅负相关,与交易量关系不大;非主力合约与成交量负相关,与振幅正相关但不如主力合约明显,主力合约冲击成本日内走势有明显规律。这些结论可以给投资者提供操作建议,帮助其制定相应的交易策略,有助于其减少指令成本。
The liquidity and impact cost of stock index futures are very important to institutional investors. This paper selects the impact cost measurement formula suitable for China’s stock index futures market from various methods of calculating impact costs and analyzes the trading highs of the 300 CSI futures contracts in China Frequency data to be empirical research, the following conclusions: the main contract impact of small costs, non-major contract impact costs, the impact of buying and selling costs no significant difference. The impact of the main contract costs increased with the number of single orders increased, basically in line with the index increased mode. The main impact cost is negatively correlated with the amplitude but not significant with the transaction volume. The non-main contract is negatively correlated with the volume, but positively correlated with the amplitude but not as obvious as the main contract. The main contract impact costs have obvious regularity in the day. These conclusions can provide investors with operational advice to help them develop the appropriate trading strategies, helping to reduce the cost of instruction.