股指期货分解交易量对定价效率的影响

摘要

基于沪深300股指期货合约的1分钟高频数据，按照一定的分解规则将交易量分解为开仓交易量、平仓交易量和换手交易量。采用一定的方法测度股指期货的定价效率，研究股指期货不同类型分解交易量对股指期货定价效率影响的差异性，得出结论：分解交易量比未分解交易量包含更多解释定价效率的增量信息，各类分解交易量对定价效率均存在正向影响，影响程度由强到弱的顺序是平仓交易量、换手交易量、开仓交易量。%With one minute high frequency data of the CSI 300 stock index futures market,the trading volume is decomposed into open position trading volume,close position trading volume and change position trading volume.Using market efficiency coefficient as the measure of stock index futures market efficiency, different impact of the decomposition trading volume on the market efficiency are studied in this paper.The conclusion is drawn that different decomposition trading volumes have different positive effects on the market efficiency.