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股指期货主力合约转换过程的价格引导关系研究

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摘要 研究股指期货主力合约转换前中后的价格引导关系的特征以及股指期货主力合约转换类型、转换提前期和转换成交量差异等转换特征对股指期货价格引导关系的影响。得出的结论是,总体上看,股指期货主力合约转换前,旧主力合约价格引导新主力合约;主力合约转换日,新旧主力合约价格引导关系不明确;主力合约转换后,新主力合约价格引导旧主力合约。另外,主力合约的转换类型、转换提前期及转换成交量差异等转换特征会对股指期货新旧主力合约的价格引导关系产生影响。
出处 《经济与管理评论》 2013年第5期111-119,共9页 Review of Economy and Management
基金 西南财经大学中央高校基本科研业务费专项资金资助项目"股指期货市场发展与合约存续中价格发现能力的时变性研究"(项目编号:JBK120210) 成都理工大学科研基金资助项目"股指期货合约存续期价格发现的时变性研究"(项目编号:2011YR10)的阶段性成果
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