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针对我国沪深300股指期货是否存在到期日效应的问题,选取了20只具有代表性的股票,运用非参数检验、带有虚拟变量的平滑交易量回归模型和AR-GARCH模型进行实证研究。研究表明,在股指期货合约到期日时,现货市场交易量没有出现显著放大,现货收益率波动与非到期日没有明显差别,价格反转效应也不显著,这说明了我国不存在股指期货到期日效应。
Aiming at the problem of the expiration date effect of Shanghai and Shenzhen 300 stock index futures, this paper selects 20 representative stocks, conducts empirical research using the nonparametric test, the smooth trading volume regression model with dummy variables and the AR-GARCH model. Research shows that when the expiration date of the stock index futures contract, the spot market trading volume did not appear significant amplification, the spot rate of return volatility and non-maturity no significant difference, the price reversal effect is not significant, indicating that there is no stock index futures in our country Maturity effect.