股指期货流动性对未来股价的预测能力分析.docVIP

PAGE PAGE 19 股指期货流动性对未来股价的预测能力分析 摘要： 本文基于2010年至2013年股指期货日度数据，使用带有滞后项的时序回归模型，研究流动性对股价的影响和预测能力，结果发现股指期货的流动性数据对未来股价有一定的预测能力。这有助于投资者通过股指期货预测未来股价波动，起到规避风险的作用。 关键词：股指期货；流动性；预测； Abstract: Based on the data of stock index futures from 2010 to 2013, using the time series regression model with time delay, researching on the liquidity impact on the stock price and prediction ability, The results indicate that the liquidity of the stock index futures data have a certain predictive ability of future stock price. This helps investors through stock index futures forecast future stock price volatility, to