价格跳跃对流动性、波动率和交易活跃度的影响研究——基于沪深300指数期货实证研究
A Study on the Impact of Price Jumps on Liquidity, Volatility and Trading Activity—Based on an Empirical Study of CSI 300 Index Futures
摘要: 近几年流动性、波动性及交易活跃度引起国内外学者的广泛关注，这对度量和控制金融资产的风险、揭示交易价格的形成及发现过程等都有重要指导意义。本文使用沪深300指数期货主力连续合约高频数据，结合BNS方法识别该合约发生跳跃的交易日，并运用Granger因果检验方法分别研究流动性、波动率及交易活跃度这三个指标在跳跃日和非跳跃日的因果关系。实证结果表明，无论我国股指期货市场在交易日内是否发生跳跃，该市场上的流动性、波动性均与交易活跃度指标之间均存在双向的Ganger因果关系。期货市场交易活跃度的另一重要指标——持仓量，在无跳跃发生时可引导流动性和波动率指标，但当存在跳跃时这些因果关系消失。
Abstract: In recent years, liquidity, volatility and trading activity have attracted extensive attention from scholars at home and abroad, which have important guiding significance for measuring and control-ling the risk of financial assets, revealing the formation and discovery process of trading prices. In this paper, the high-frequency data of the main continuous contract of CSI 300 Index Futures are used to identify the trading day when the contract jumps in combination with the BNS method, and the Granger causality test method is used to study the causality between the three indicators of li-quidity, volatility and trading activity on the jump day and the non-jump day. The empirical results show that there is a two-way Ganger causality between liquidity, volatility and trading activity in China’s stock index futures market regardless of whether there is a jump in the trading day. Open interest, another important indicator of futures market trading activity, can guide liquidity and volatility indicators when there is no jump, but when there is a jump, these causal relationships disappear.
文章引用：王磊. 价格跳跃对流动性、波动率和交易活跃度的影响研究——基于沪深300指数期货实证研究[J]. 金融, 2021, 11(5): 416-425. https://doi.org/10.12677/FIN.2021.115047

参考文献

[1] Amihud, Y. (2002) Illiquidity and Stock Returns: Cross-Section and Time-Series Effects. Journal of Financial Markets, 5, 31-56. [Google Scholar] [CrossRef] 
[2] Fong, K.Y.L., Holden, C.W. and Trzcinka, C. (2017) What Are the Best Liquidity Proxies for Global Research? Review of Finance, 21, 1355-1401. [Google Scholar] [CrossRef] 
[3] Wang, G.H.K. and Yau, J. (2010) Trading Volume, Bid-Ask Spread and Price Volatility in Futures Markets. Journal of Futures Markets, 20, 943-970. [Google Scholar] [CrossRef] 
[4] Bessembinder, H. and Se-guin, P.J. (1992) Futures-Trading Activity and Stock Price Volatility. Journal of Finance, 47, 2015-2034. [Google Scholar] [CrossRef] 
[5] Qiao, G., Teng, Y., et al. (2019) The Cross-Market Dy-namic Effects of Liquidity on Volatility: Evidence from Chinese Stock Index and Futures Markets. Applied Economics, 52, 85-99. [Google Scholar] [CrossRef] 
[6] Corsi. F., Mittnik, S., Pigorsch, C., et al. (2008) Thevolatility of Realized Volatility. Econometric Reviews, 27, 46-78. [Google Scholar] [CrossRef] 
[7] Gottardo, P. (2011) Speed of Adjustment and Infraday/Intraday Volatility in the Italian Stock and Futures Markets. Modern Economy, 2, 735-742. [Google Scholar] [CrossRef] 
[8] Hou, Y., Li, S. and Wen, F.H. (2019) Time-Varying Volatility Spillo-ver between Chinese Fuel Oil and Stock Index Futures Markets Based on a DCC-GARCH Model with a Semi-Nonparametric Approach. Energy Economics, 83, 119-143. [Google Scholar] [CrossRef] 
[9] 罗洎, 王莹. 股指期货对证券市场波动性和流动性的影响——基于中国市场的经验研究[J]. 宏观经济研究, 2011(6), 55-61+77.
[10] 欧阳红兵, 傅毅夫. 中国股市限价指令簿的流动性提供研究[J]. 管理科学, 2012, 25(4): 91-99.
[11] 张峥, 李怡宗, 张玉龙, 刘翔. 中国股市流动性间接指标的检验——基于买卖价差的实证分析[J]. 经济学(季刊), 2013, 13(4): 233-262.
[12] 褚剑, 方军雄. 中国式融资融券制度安排与股价崩盘风险的恶化[J]. 经济研究, 2016, 51(5):143-158.
[13] 高扬. 股指期现货市场间流动性、波动率与交易活跃度考察[J]. 统计与决策, 2014(22): 153-156.
[14] 李志辉, 孙广宇, 夏秋. 流动性、流动性波动与股票预期收益——基于沪市高频交易数据的经验研究[J]. 南开经济研究, 2019(3): 181-197.
[15] 巫秀芳, 郭亮. 股市流动性、杠杆率与股价波动——基于TVP-VAR模型的实证检验[J]. 河北经贸大学学报, 2019, 40(5): 43-51+69.
[16] 李延军, 贺佳宁. 信息不对称对股指期现货市场流动性不稳定的预警研究[J]. 金融发展研究, 2020(10): 65-74.
[17] 张陈, 周新苗. 股指期货对股市波动性及非对称性的影响——基于EGARCH模型的实证研究[J]. 生产力研究, 2020(10): 23-27+44+161.
[18] Barndorff-Nielsen, O.E. and Shephard, N. (2006) Econometrics of Testing for Jumps in Financial Economics Using Bipower Variation. Journal of Financial Econometrics, 4, 1-30. [Google Scholar] [CrossRef] 
[19] Lee, S.S. and Mykland, P.A. (2008) Jumps in Financial Markets: A New Nonparametric Test and Jump Dynamics. The Review of Financial Studies, 21, 2535-2563. [Google Scholar] [CrossRef] 
[20] Adhikari, R. and Putnam, K.J. (2020) Comovement in the Commodity Futures Markets: An Analysis of the Energy, Grains, and Livestock Sectors. Journal of Commodity Markets, 18, Article No. 100090. [Google Scholar] [CrossRef] 
[21] 孙洁. 考虑跳跃和隔夜波动的中国股票市场波动率建模与预测[J]. 中国管理科学, 2014, 22(6): 114-124.
[22] 王明涛, 孙西明, 陈云. 中国股指期货跳跃对股指现货跳跃的影响研究——基于同步与延伸交易的视角[J]. 管理科学学报, 2018, 21(8): 64-82.
[23] Li, Y. and Jiang, T.F. (2017) Jumps in High-Frequency Data on the Chinese Stock Market. Journal of Mathematical Finance, 7, 467-490. [Google Scholar] [CrossRef] 

为你推荐