夜盘交易对我国贵金属期货市场的影响研究

对比了我国贵金属期货市场推出夜盘交易制度前后流动性、波动性与联动性的变化,并研究了该交易制度带来的长期与短期不同的影响。首先,采用经过修正的流动性比率衡量市场流动性,并引入虚拟变量纳入回归模型,进一步研究夜盘交易对市场流动性的贡献;接下来,将每日收益率分解为隔夜收益率和日内收益率,通过建立EGARCH模型,分别考察夜盘交易对隔夜波动率和日内波动率长期与短期的影响;最后,通过建立VAR-BEKK-GARCH模型,从均值和方差两个层面研究了国内外贵金属期货市场间的联动性。研究发现:我国推出的夜盘交易制度显著提高了贵金属期货市场的流动性,降低了贵金属期货市场的波动性,尤其是降低了隔夜收益率的波动性,日内收益率的波动性并没有显著减弱;夜盘交易的推出同时增强了国内外期货市场之间的联动性,提升了我国贵金属期货市场对信息的吸收与传递效率。

Research on the Effect of Night Trading on the Market of Precious Metal Futures

The changes in liquidity, volatility and linkage of the precious metals futures market in China before and after the launch of night trading sessions are compared, and both the long-term and short-term effects of the night trading sessions are studied in this article. The revised liquidity ratio is used to measure the market liquidity, and a dummy variable is incorporated into the regression model to further study the contribution of night trading sessions; the conventional daily rate of return is decomposed into overnight and day rate of return. The EGARCH models with three kinds of rate of return and two periods (long-term and short-term) are established. The paper also establishes VAR-BEKK-GARCH models to study the linkage between domestic and foreign futures markets from both the mean and variance levels. The study finds that the overnight trading sessions in China significantly increase the liquidity of the precious metals futures market; at the same time, the overnight trading sessions significantly reduce the volatility of the market, especially the volatility of the overnight yield, while the volatility of day rate of return has not been significantly reduced. Finally, the launch of night trading has strengthened the linkage between domestic and foreign futures markets and enhanced the information transmission efficiency of the precious metal futures market in China.