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VRP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 |
|
| 蚁群 |
−0.051(−4.08) |
−0.042(−3.35) |
−0.038(−2.99) |
0.025(1.98) |
−0.001 (−0.03) |
0.010 (0.91) |
−0.004 (−0.43) |
|
| RF |
−2.640(−4.86) |
−2.432(−4.45) |
−2.120(−3.87) |
−0.354 (−0.64) |
2.404(4.43) |
2.879(5.78) |
3.177(7.25) |
|
| 先生 |
−0.048 (−0.64) |
−0.097 (−1.28) |
0.074 (0.97) |
0.067 (0.88) |
0.125(1.66) |
0.024 (0.35) |
0.006 (0.09) |
|
| 呃 |
−0.023(−5.19) |
−0.024(−5.38) |
−0.025(−5.52) |
−0.023(−5.00) |
−0.018(−4.08) |
−0.008(−1.86) |
0.003 (0.82) |
|
| 圆形的 |
0.061(4.39) |
0.044(3.14) |
0.033(2.34) |
0.008 (0.59) |
0.010 (0.70) |
−0.010 (−0.75) |
0.016 (1.40) |
|
| 调整R2(%) |
4.42 |
3.54 |
2.81 |
2.17 |
4.49 |
3.78 |
4.05 |
|
|
| 面板B:中长期预测VRP对股票市场流动性的力量 |
|
150 d |
180 d |
210 d |
240 d |
270 d |
300 d |
330 d |
360 d |
|
| 蚁群 |
−0.012 (−1.17) |
−0.009 (−0.86) |
−0.004−0.37) |
−0.001 (−0.10) |
0.004 (0.37) |
0.011 (1.01) |
0.008 (0.76) |
0.007 (0.58) |
| RF |
3.457(7.92) |
4.082(9.33) |
5.315(12.28) |
5.335(12.28) |
5.790(12.79) |
5.491(11.83) |
5.504(11.80) |
4.240(8.87) |
| 先生 |
0.019 (0.31) |
0.033 (0.54) |
−0.001 (−0.02) |
−0.050 (−0.83) |
−0.050 (−0.83) |
−0.020−0.33) |
−0.013 (−0.21) |
−0.120(−1.89) |
| 呃 |
0.011(2.96) |
0.019(5.15) |
0.029(8.29) |
0.036(10.34) |
0.042(12.11) |
0.045(12.80) |
0.049(13.85) |
0.048(12.97) |
| 圆形的 |
−0.001 (−0.11) |
0.009 (0.76) |
0.010 (0.90) |
−0.004 (−0.31) |
−0.011 (−0.95) |
−0.014 (−1.11) |
0.009 (0.72) |
0.002 (0.13) |
| 调整R2(%) |
4.28 |
5.95 |
10.67 |
12.43 |
15.36 |
15.74 |
17.20 |
14.34 |
|
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