股指期货到期日效应在中国存在吗

Does Index Futures Expiration Day Effect Exist in China

本文选取1分钟高频数据作为研究对象,采用带有虚拟变量的自回归模型对沪深300股指期货合约是否具有到期日效应展开实证研究。研究的主要结论有:第一,股指期货合约到期日时,现货市场并没有出现交易量异常放大的现象,反而在到期日的最后两个小时,现货市场的交易量出现异常减少的现象;第二,股指期货合约到期日时,现货市场的波动率并没有出现异常的变化。由以上两个结论来看,沪深300股指期货合约并没有出现所谓的到期日效应,这与我国设计合理的交割结算价确定机制以及特殊的期货市场投资者结构有关。

One minute high frequency date and autoregressive model with dummy variables are used to investigate whether the CSI 300 index futures have expiration day effects. The main conclusions of the research： Firstly, on expiration days of the CSI 300 index futures, the spot market is not associated with abnormal large volume; instead, in the last two hours of expiration days, the spot market is associated with abnormal low volume. Secondly, on expiration days of the CSI 300 index futures, the spot market is not associated with abnormal change index volatility. From the two conclusions, no expiration day effects are found in the CSI 300 index futures of China. This paper argues that it is due to the reasonable mechanism of settlement price determination and special structure of futures markets investors.