A股期指前15分钟交易信息的统计挖掘研究

Statistical Research on the Information Contained in the Stock Index Futures During First 15 Minutes Trading

在中国证券市场,股指期货先于股市15 min进行交易.在成熟的金融市场,期货对现货市场具有价格发现的功能,但中国股票市场尚居于新兴发展时期,A股股指期货对现货是否依然具有这一功能?如果有,是否可以利用期货市场先发的15 min所积累的信息,指导现货市场的投资.文章将以概率统计相关的理论和技术为主要工具进行数据分析,希望能够对以上问题给出一个较为客观和全面的回答.结果发现,依据先发的15 min的期货价格运行的信息对后发现货市场价格运行预测的能力,与板块有关,投资者还需要考虑引入其它因素,才能取得好的投资效果.

In Chinese securities market, stock index futures market starts 15 minutes earlier than spot market, and that the futures have the function of price discovery. This study uses modem statistical theory and techniques as the main tool to investigate whether the information contained in the futures market during this 15 minutes can be helpful to predict the movement of the spot market. We find that the power for prediction varies in different sectors. For a better decision making, one has to include more variables.