摘要
文章利用我国沪深300股指期货的每分钟高频数据,对实行熔断机制前后的数据进行划分处理,并对两时间段数据建立ACD模型。通过对股指期货数据的实证研究,发现触发熔断前的市场交易较为活跃,熔断结束时的市场交易异常兴奋,并且经过ACD模型的拟合,得出熔断机制可以为稳定我国股票市场波动起到一定的控制作用。
This paper employs the per-minute high-frequency data of Shanghai and Shenzhen 300 stock index futures to process the data both before and after the implantation of fusing mechanism, and establishes an ACD model about the data of these two time frames. The paper makes an empirical analysis on the data of the stock index futures, and discovers that the market is ac- tive before triggering the circuit-breaker and is exceptionally active at the finish of fusing. By fitting the ACD model the paper comes to a conclusion that fusing mechanism plays a certain role in controlling and stabilizing the Chinese stock markets.
出处
《统计与决策》
CSSCI
北大核心
2017年第13期153-155,共3页
Statistics & Decision
基金
国家自然科学基金资助项目(11501015)
关键词
熔断机制
高频数据
ACD模型
波动率
circuit-breaker mechanism
high-frequency data
ACD model
fluctuation ratio
