我国股指期货提前交易的信息内涵及其预测能力

Information Content and Forecasting Ability of Pre-opening Trading in Chinese Stock Index Futures Market

利用日内数据研究我国股指期货市场提前交易期间的信息内涵及其预测能力。实证结果表明:我国股指期货的提前交易具有丰富的信息内涵;并且,所构建的偏度、峰度和交易量等交易指标不仅能够解释股票现货和期货市场的隔夜收益率,还能解释股指期货的日内收益。这意味着我国股指期货的提前交易不仅反映公开信息,还能反映私人信息。由此,进一步给出了基于提前交易信息投资管理的对策建议。

By analyzing the intraday data,we investigate the information content and its forecasting ability of pre-opening trading in the Stock Index Futures Market inChina.The empirical results show that there is rich information content during pre-opening trading period in Stock Index Futures Market in China.The trading indices such as skewness,kurtosis and trading volume developed in this paper can explain not only the overnight returns of futures,but also the intraday returns in futures,which indicates that the pre-opening trading of Stock Index Futures Market can reflect both public and private information.We also offer suggestions on the investment management.