股指期货不同交易类型对市场质量的影响研究

A Study on the Impact of the Different Transaction Type on the Quality of the Stock Index Futures Market

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,进而对股指期货市场质量包括流动性、波动性和有效性产生不同影响。采用一定指标测度市场流动性、波动性和有效性,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的流动性、波动性和有效性影响的差异性,并以沪深300股指期货合约IF1201进行实证分析,得到的结论是:平仓交易对流动性的影响最强,且为正向影响;平仓交易对波动性的影响最强,且为正向影响;平仓交易对有效性的影响最强,且为负向影响。

Stock index futures transaction types including open position transaction, close position transaction and change position transaction have different influences on trading volume and open interest. Trading volume and open interest have differ- ent effects on the liquidity, volatility and efficiency of the stock index futures market. Using illiquidity as the measure of liquid- ity, GK volatility as the measure of volatility, MEC as the measure of efficiency, with trading volume and open interest as inter- mediate variables, the paper studies the influences of the different transaction types on the liquidity, volatility and efficiency of the stock index futures market. The conclusion is drawn that the close position transaction has the strongest positive effect on the liquidity, the close position transaction has the strongest positive effect on the volatility, and the close position transaction has the strongest negative effect on the efficiency of the stock index futures market.