题名

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

并列篇名

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

DOI

10.6545/JFS.201806_26(2).0004

作者

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

关键词

Index futures ； day trading ； investment strategy ； large price changes ； 指數期貨 ； 日內交易 ； 投資策略 ； 大幅價格變動

期刊名称

財務金融學刊

卷期/出版年月

26卷2期（2018 / 06 / 30）

页次

139 - 174

内容语文

英文
中文摘要

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.
英文摘要

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。
主题分类 社會科學 > 經濟學
社會科學 > 財金及會計學
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