摘要
2015年9月2日中国金融期货交易所修改了股指期货交易规则,使得股指期货市场成交量大幅缩水,本文研究了在这种特殊背景下,度量知情交易概率的高频指标VPIN预测短期内市场流动性和波动性水平的有效性问题。本文选取沪深300主力合约高频交易数据为样本,通过构建交易规则修改前后的子样本进行实证研究。分析表明,在市场急剧萎缩的环境下,VPIN对短期内流动性和波动性水平的预测能力虽然有较大幅度的下降,但依然保持了部分解释能力,表明了VPIN作为市场波动预警指标的适用性和稳健性。
In September 2^（nd）, 2015, the China Financial Futures Exchange changed trading rules of index futures, which dramatically decreased the market＇s trading volume. Under this scenario, it is interest that whether high frequency inform trading indicator VPIN still can predict market liquidity and price volatility level in short term. This article use high frequency data of CSI300 dominant contracts to study this question. Regression analysis shows that, the predictive ability of VPIN dramatically decreased but remain significant after the trading rules change, suggesting that VPIN remain suitable for predicting future short term liquidity and volatility.
出处
《投资研究》
2016年第3期140-150,共11页
Review of Investment Studies
