论文部分内容阅读
股指期货的交易类型包括开仓交易、平仓交易和换手交易,不同交易类型会对成交量和持仓量产生不同影响,进而对股指期货的价格波动产生不同影响。采用GK波动率测度股指期货的价格波动,以成交量和持仓量作为中间变量,研究股指期货的不同交易类型对股指期货价格波动影响的差异性,得到的结论是:在交易数量相同的情况下,股指期货的平仓交易对价格波动的影响最大,为正向影响;换手交易对价格波动的影响次之,为正向影响;开仓交易对价格波动的影响最小,为负向影响。在交易数量放大的情况下,开仓交易对价格波动的影响最大,且是正向影响;换手交易对价格波动的影响次之,且是正向影响;平仓交易对价格波动的影响最小,且是负向影响。
Stock index futures trading types include open trades, open trades and exchange trades, different types of trades will have different effects on the volume and open positions, and thus have different effects on the price volatility of stock index futures. Using the volatility of GK to measure the price volatility of stock index futures, this paper studies the difference of the impact of different types of stock index futures on the price volatility of stock index futures based on the trading volume and open interest, and concludes that in the case of the same number of transactions , The closing trading of stock index futures futures has the greatest impact on price fluctuations, which has a positive impact; the impact of the trading turnover on the price fluctuations is secondarily positive; the opening trade has the least negative impact on the price volatility. In the case of enlarged trading volume, the open trading has the greatest impact on the price fluctuation, and it has a positive impact; the trading of the trading volume has the second and the positive impact on the price fluctuation; the liquidation transaction has the least impact on the price fluctuation It is negative.