沪深300股指期货市场的到期日效应研究

摘要

With the daily data of CSI 300 stock index before and after the CSI 300 stock index futures im-plemented in 2010, from the angle of trading volume, return, liquidity, and volatility, using the Wilcox-on-Mann -Whitney Nonparametric Test and the difference in difference model, the expiration day effects of stock index futures are studied in this paper.The conclusions are drawn as the follows:in the CSI 300 securities market, the trading volume effect and the return effect are all not significant, while the liquidity effect and volatility effect are all significant on the expiration day of the CSI 300 stock index fu-tures.%采用我国沪深300股指期货推出前后沪深300股指各4年的日交易数据，从沪深300股指市场的成交量、收益率、流动性和波动性等指标角度，使用Wilcoxon—Mann—Whitney非参数检验方法和双重差分模型DID研究沪深300股指市场的股指期货到期日效应，得到的结论是：在沪深300股指期货合约的到期日，沪深300股指市场不存在显著的成交量效应和收益率效应，却存在显著的流动性效应和波动性效应。