股指期货主力合约转换的有效性研究——基于价格引导关系视角

A Study on the Effectiveness of the Transfer of Dominant Futures Contract of Stock Index Futures——Based on the Perspective of Price Leading Relationship

以成交量最大、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标准,研究四种标准的主力合约转换日的差异性和有效性。对沪深300股指期货20次主力合约的实证分析表明:成交量最大确定的主力合约转换日和持仓量最大确定的主力合约转换日相同的有5次;成交量最大确定的主力合约转换日与持仓量最大确定的主力合约转换日不同的有15次;持仓量最大确定的主力合约转换比成交量最大确定的主力合约转换具有更强的有效性。

Based on the maximum trading volume, maximum open interest, one of the maximum trading volume and open market, and the maximum of the two variables as a whole, the paper studies the differences and the effectiveness of the dominant futures contract of the four standards on the trans- fer day. Empirical analysis on 20 times of dominant futures contracts of the stock index futures 300 in Shanghai and Shenzhen Stock Exchanges show that 5 out of 20 times of transfer days of dominant fu- tures contract determined by maximum trading volume and open interest respectively are the same; the rest 15 times of transfer days are different; transfer of dominant futures contract determined by the max- imum open interest is more effective than that determined by maximum trading volume.