沪深300股指期货在现货交易和非交易时段交易特征的比较研究

CSI 300 Stock Index Futures Trading Character and Price Discovery in Non-spot Trading Hours

我国沪深300股指期货交易2010年4月16日正式推出,但沪深300股指期货市场与沪深300现货市场的交易时间存在显著的差异,即相对于股票现货市场,沪深300股指期货市场提前15分钟开盘,延迟15分钟收盘。运用日内分笔数据和分钟数据,对沪深300股指期货不同交易时段的交易特征进行比较,研究表明,不同交易时段知情交易者市场参与度存在明显差异,提前交易时段知情交易的概率最高;沪深300股指期货在开盘时段的交易提供了较大的价格发现,特别是开盘的第一笔交易包含有大量的私有信息,价格贡献最大;提前交易时段私有信息的价格发现贡献度最高;尽管提前交易时段的交易提供了较大的价格发现,但定价效率较低。

CSI 300 stock index futures has been launched since April 16, 2010, but there are significant differences in trading hours between CSI 300 stock index futures market and the spot market, namely with respect to the spot market, the CSI 300 index futures is 15 minutes ahead of the opening and 15 minutes later than the closing. In this paper, we use intraday tick data and mi- nute data to study the trading character of CSI 300 stock index futures during different trading hours. We find that the participation of informed traders are significant different in different trading hours. The probability of informed trading are highest during the pre-open trading hours; Trades during the opening of CSI 300 stock index futures provide large price discovery, especially the first trade contains a large number of private information and has the largest price discovery. The fraction of total price discovery attributable to private information is highest. Although trading during the pre-opening provides greater price discovery, the pricing efficiency is low.