全球股指期货市场流动性共性研究

发布时间：2018-03-08 22:19

本文选题：期货市场　切入点：Amihud非流动性指标　出处：《南方金融》2017年03期 　论文类型：期刊论文

【摘要】：本文以改进的Amihud非流动性指标和Amivest流动性比率作为流动性指标,采用Brockman市场时间序列回归模型,研究全球27个股指期货市场的流动性共性;使用改进后的Brockman市场时间序列回归模型,研究滞后效应和到期效应对股指期货市场流动性的影响。研究结果表明:绝大多数股指期货市场与全球股指期货市场存在显著的流动性共性,中国内地市场与全球市场之间不存在显著的流动性共性;与新兴市场相比,发达市场和全球市场之间的流动性共性更加显著;滞后效应与绝大多数股指期货市场存在显著的流动性共性,到期效应对于大多数股指期货市场的流动性并无显著性影响。总的来看,2008年国际金融危机之后,全球股票市场和股指期货市场相互联系趋于增强,而中国内地资本市场对外开放水平需要进一步提高。
[Abstract]:In this paper, the improved Amihud illiquidity index and Amivest liquidity ratio are used as liquidity indicators and the Brockman market time series regression model is used to study the liquidity generality of 27 stock index futures markets in the world. Using the improved Brockman market time series regression model, The effects of lag effect and maturity effect on the liquidity of stock index futures market are studied. The results show that most stock index futures markets and global stock index futures markets have significant liquidity commonness. There is no obvious liquidity commonality between the Chinese mainland market and the global market, and the liquidity commonality between the developed market and the global market is more obvious than that of the emerging market. The lag effect has obvious liquidity commonness with most stock index futures markets, and the maturity effect has no significant effect on the liquidity of most stock index futures markets. In general, after the international financial crisis in 2008, the maturity effect has no significant effect on the liquidity of most stock index futures markets. The global stock market and the stock index futures market are becoming more interconnected, while the opening of mainland China's capital markets to the outside world needs to be further improved.
【作者单位】：华东理工大学商学院;华东理工大学理学院;
【基金】：国家自然科学基金项目《金融复杂系统极端事件的时间间隔研究》(项目编号:10905023) 教育部人文社会科学基金项目《基于金融极端事件间隔时间的Va R研究》(项目编号:09YJCZH042) 中央高校基本科研业务费资助项目《金融序列空间关联对时间关联的影响研究——以股指和股指期货为例》(项目编号:WN1524001)的阶段性研究成果
【分类号】：F831.53

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