价格跳跃行为视角下中国金融期货开盘效应的实证研究

China Financial Futures Market's Opening Effect from the Perspective of Intraday Price Jumping Behaviors

基于JV-TOD非参数方法和高频数据识别中国股指、国债期货日内价格跳跃行为,证明其开盘效应的存在,根据市场预期理论改进HAR-CJ模型分析开盘效应的内在机制,主要结论有:(1)中国金融期货市场日内开盘效应明显,开盘跳跃行为是价格日内波动的重要组成部分;(2)股指期货日内价格的午盘和盘中跳跃行为是其显著区别于国债期货的日内分布特征;(3)期现市场开盘共同发生"常规性"跳跃时,期货市场开盘效应对现货市场的引导作用明显;(4)市场前期波动行为可以在一定程度上解释交易日内开盘效应,但相较而言,跳跃变差比连续波动的贡献稍弱。据此,提出为机构投资者和市场监管者提供相关风险管理、优化市场结构的建议。

In this paper we analyze the opening jump behaviors of China financial futures market based on JV- TOD non parameter method and high frequency data. We also improve the HAR-CJ volatility model built on market expectation theory to demonstrate its inherent mechanism. It is concluded that China financial futures market displays the intraday jump behaviors significantly; the opening jump behaviors of trading days have an evident influence on the continuous and discontinuous volatility,which is an important part of intraday price be- haviors. The middy jump behaviors are obvious in stock index futures market, while not in bond futures mar- ket. When the common occurrence of conventional jumps, the futures market guides the spot market behavior statistically significant. The fluctuating behaviors of early clays can explain the opening effect in a certain ex- tent,providing the relevant risk management advice for institutional investors and market regulators under the empirical conclusions.