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沪深300股指期货对股票现货市场流动性的影响——基于PSM方法和DID方法的分析

The influence of the Shanghai and Shenzhen 300 stock index futures on the liquidity of the stock spot market -- Based on the analysis of the PSM method and the DID method

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文献类型:
国际会议
文献来源:
Advances in Humanities and Social Science ResearchAdvances in Social Science,Education,and Humanities Research Vol91 2016年
会议地点:
中国广东广州
主办单位:
AEIC Academic Exchange Information Centre,China
作者:
赵锦洲,王泳波
基金:
华南理工大学金融系
分类号:
F83251
关键词:
流动性论文  动性论文  沪深论文  影响论文  基于论文  

摘要:本文利用2009年至2014年的中国A股市场的数据,首先通过倾向得分匹配法匹配出与沪深300成分股相匹配的非成分股,然后对这两组样本进行双重差分模型研究,探讨沪深300股指期货推出以来股票现货市场的流动性变化。研究结果表明:沪深300股指期货的交易会对现货市场产生资金挤出效应,现货市场的成分股和非成分股的流动性都有显著降低;与股指期货在套期保值方面的相关性使成分股的流动性受到的影响小于非成分股,且

Abstract:In this paper, from 2009 to 2014 China A stock market data, the propensity score matching and non matching index CSI 300 stocks, then the two groups of samples were double difference model research, explore the changes of liquidity of spot stock market since the CSI 300 stock index futures. The results show that the Shanghai and Shenzhen 300 stock index futures trading will have crowding out funds on the stock market, the stock market liquidity index and non stocks were significantly reduced; and the correlation between stock index futures hedging in the liquidity stocks affected less than stocks, and

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