研究文章
期权的隐含信息可以预测股市的流动性?数据驱动的研究基于SSE 50 etf选项
|
| 面板:短期预测静脉注射对股票市场流动性的力量 |
|
1 d |
5 d |
10 d |
30 d |
60 d |
90 d |
120 d |
|
| 静脉注射 |
0.032(2.76) |
0.037(3.18) |
0.048(4.19) |
0.062(5.43) |
0.051(4.45) |
0.026(2.00) |
0.023(2.43) |
|
| RF |
−2.941(−5.19) |
−2.825(−4.97) |
−2.686(−4.73) |
−1.283(−2.26) |
1.707(3.05) |
3.476(5.49) |
2.856(6.20) |
|
| 先生 |
−0.071 (−0.94) |
−0.117 (−1.55) |
0.055 (0.72) |
0.072 (0.95) |
0.121 (1.61) |
−0.048 (−0.59) |
0.000 (0.01) |
|
| 呃 |
−0.025(−5.33) |
−0.262(−5.69) |
−0.028 (−6.10) |
−0.029 (−6.33) |
−0.023 (−5.02) |
−0.013 (−2.65) |
0.001 (0.24) |
|
| 圆形的 |
0.061(4.35) |
0.044(3.16) |
0.034(2.43) |
0.013 (0.91) |
0.012 (0.91) |
0.002 (0.09) |
0017 (1.51) |
|
| 调整R2(%) |
3.82 |
3.46 |
3.39 |
3.88 |
5.80 |
4.66 |
4.43 |
|
|
| 面板B:中长期预测的静脉注射对股票市场流动性 |
|
150 d |
180 d |
210 d |
240 d |
270 d |
300 d |
330 d |
360 d |
|
| 静脉注射 |
0.048(5.04) |
0.047(4.78) |
0.025(2.53) |
0.034 (1.63) |
0.025(2.60) |
0.009 (0.89) |
−0.003 (−0.29) |
0.008 (0.78) |
| RF |
2.809(6.15) |
3.460(7.57) |
5.007(10.89) |
5.616(12.39) |
5.475(11.45) |
5.318(10.94) |
5.498(11.31) |
4.074(8.18) |
| 先生 |
0.008 (0.14) |
0.023 (0.37) |
−0.009 (−0.14) |
−0.030 (−0.49) |
−0.051 (−0.85) |
−0.014 (−0.23) |
−0.005 (−0.09) |
−0.118(−1.85) |
| 呃 |
0.006(1.74) |
0.014(3.78) |
0.027(7.23) |
0.036(10.33) |
0.039(10.78) |
0.044(11.91) |
0.051(13.48) |
0.049(12.44) |
| 圆形的 |
0.002 (0.15) |
0.012 (1.11) |
0.012 (1.06) |
−0.006 (−0.52) |
−0.009 (−0.82) |
−0.013 (−1.04) |
0.010 (0.82) |
0.003 (0.21) |
| 调整R2(%) |
5.94 |
7.49 |
11.11 |
12.79 |
15.81 |
15.75 |
17.47 |
14.74 |
|
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