论文部分内容阅读
本文采用Weibull-SCD(1,1)模型,应用超高频股指期货行情数据,研究了我国股指期货市场交易久期的聚类特征,研究结论如下:当月合约比下月合约的交易聚类性显著,下季合约比隔季合约的交易聚类性显著。微观结构变量对交易久期的影响与理论预测相一致,即:在我国股指期货市场交易久期的聚类性,不是由于流动性交易造成的,而是新信息发生作用的结果。
In this paper, we use the Weibull-SCD (1,1) model to study the clustering characteristics of the trading duration of the stock index futures market in China based on the data of UHF stock index futures. The conclusions are as follows: Significantly, there was a significant clustering of transactions in the next quarter over the second quarter. The effect of microstructure variables on the trading duration is consistent with the theoretical prediction that the clustering of the duration of the transaction in the stock index futures market in our country is not caused by the liquidity transaction but rather the result of the new information.