基于价格引导关系的股指期货主力合约转换的有效性研究

A Study on the Effectiveness of Dominant Contract Based on Trading Volume or Open Interest

分别以股指期货合约在合约序列中的成交量最大、持仓量最大、成交量持仓量之一最大、成交量持仓量共同最大作为判别主力合约的标准,确定股指期货主力合约转换日,研究以四种判别标准所确定的股指期货主力合约转换日的差异性和有效性。并对我国沪深300股指期货连续20次主力合约转换进行实证分析,得到的基本结论是:主力合约转换日的差异性方面,以持仓量最大标准和以成交量持仓量之一最大标准确定的主力合约转换日是相同的;以成交量最大标准和以成交量持仓量共同最大标准确定的主力合约转换日是相同的;以成交量最大标准确定的主力合约转换日和以持仓量最大标准确定的主力合约转换日相同的有5次;其余15次为以成交量最大标准确定的主力合约转换日比以持仓量最大标准确定的主力合约转换日晚一个交易日。主力合约转换日的有效性方面,以股指期货主力合约转换日前后新旧主力合约的价格引导关系变化的方向合理性和程度显著性作为判断主力合约转换有效性的标准,得到的结论是以持仓量最大确定的主力合约转换日比以成交量最大确定的主力合约转换日具有更强的有效性。

According to the maximum trading volume or maximum open interest standard, the donfinant contract converse dates are found. Then the difference and efficiency of two kinds of dominant contract converse dates are studies in this paper. The eonclussion is drawn that, some dominant contract converse dates based on trading volume are same to the dominant contract converse dates based on open interest, and the others dominant contract converse dates based on trading volume are latter than the dominant contract converse dates based on open interest, Furthermore, the dominant contract converse dates based on open interest are more efficient than the dominant contract converse dates based on trading volume.