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利用沪深300股指期货连续合约的高频数据,采用参数估计的方法运用R软件对数据进行处理,消除其日模式并建立ACD模型.还加入了市场微结构噪声,探讨交易量持续期的信息传递机制.实证分析表明,在选取样本中,价格波动和交易量与股指期货市场流动性显著正相关,交易量持续期与股指期货市场流动性显著负相关,信息交易增加导致流动性降低,进而为投资者进行决策提供一定的参考.
Using the high-frequency data of Shanghai-Shenzhen 300 Futures Futures Consecutive Contract, using the method of parameter estimation, we use R software to process the data to eliminate its daily mode and set up the ACD model, and also join the market microstructure noise to discuss the information about the duration of the trading volume The empirical analysis shows that price volatility and trading volume are significantly and positively correlated with the liquidity of the stock index futures market in the sample selection, the duration of the trading volume is significantly and negatively correlated with the liquidity of the stock index futures market, and the increase of the information transaction leads to the decrease of the liquidity, thus Provide some reference for investors to make decisions.