Do Intraday Large Price Changes Matter for Trading Index Futures? Evidence from China Futures Markets

日內大幅價格變化對交易指數期貨重要嗎？中國期貨市場的證據

戴敏育(Min-Yuh Day) ； 黃寶玉(Paoyu Huang) ； 倪衍森(Yensen Ni) ； 陳育欣(Yuhsin Chen)

《財務金融學刊》 26卷2期 (2018/06) Pp. 139-174

https://doi.org/10.6545/JFS.201806_26(2).0004

摘要

By employing intraday tick data due to big data concerns, we examine whether investors profit by day trading China Stock Index 300 Futures (C300F) as the C300F index rises (falls) over considerable points in a minute defined as intraday large price change. We argue that the intraday large price change might induce investors to trade the C300F. Results reveal that investors are likely to make profits by taking short positions on the C300F right after the occurrence of the intraday large price change, except when the C300F falls from extremely high points like 20 points in a minute.

關鍵字

Index futures ； day trading ； investment strategy ； large price changes

並列摘要

本研究採取具有大數據性質的日內資料為樣本，來探討一分鐘滬深300期貨指數漲跌相當幅度時介入，是否有獲利的可能性。此乃基於當滬深300期貨指數大幅變動似能引發投資者介入。實證結果顯示除滬深300期貨指數一分鐘大跌20點外，投資人似可在滬深300期貨指數大幅變動時放空而有獲利的契機。

並列關鍵字

指數期貨 ； 日內交易 ； 投資策略 ； 大幅價格變動

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