我国股指期货和现货市场隔夜信息、午间信息的因果效应分析

Causal Analysis of Overnight and Lunch break Information for Chinese Stock Indexes and Futures

非交易时间的信息累积效应引起学者广泛关注,隔夜信息和午间信息是其典型代表。本文选取我国A股市场沪深300、上证50、中证500的股指期货和指数现货的日交易数据作为样本,运用DAG因果分析法,研究了隔夜信息和午间信息对日内收益率之间的因果关系结构。不论是隔夜信息和午间信息的影响传递路径还是影响系数,三个指数品种的因果影响结构都有很大不同。通过分析因果结构图和影响系数,本文认为隔夜信息和午间信息对日内收益率的影响冲击是存在的,但与相邻时段收益的相互影响相比,这种影响并不强劲,并且在后续会被市场逐渐消化。本文还发现,沪深300和中证500的因果结构图中,都显示出股指期货的影响占据主导地位。

The cumulative effect of non-trading time has attracted wide attention from scholars,and overnight information and Lunch break information are typical of them.In this paper,our data sample is the daily trading data of stock index futures and index stock in CSI300,SSE 50 and CSI 500,and we use DAG causality analysis to study the causal relationship structure and effect of overnight information and Lunch break information on intraday rate of return.The causal influence structure of the three indexes varies dramatically,whether transmission path or impact coefficient of overnight information and Lunch break information.By analyzing the causal structure graph and the influence coefficient,this paper argues that the impact of overnight information and Lunch break information on the impact of daily income can be found,but the effect is not strong compared with the mutual influence of the return of the adjacent period.And the effects are gradually digested by the market.This article also found that in the causal structure of the CSI 300 and CSI 500,stock index futures dominate the impacts to others.