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
表8
鲁棒性测试:预测静脉注射的力量在不同阶段对股票市场流动性。
|
| 面板:预测能力在开发的早期阶段 |
|
1 d |
5 d |
10 d |
30 d |
60 d |
90 d |
120 d |
|
| 静脉注射 |
0.000 (0.01) |
0.009 (0.65) |
0.020 (1.50) |
0.041(3.16) |
0.022(1.77) |
−0.020(−1.90) |
−0.004 (−0.55) |
| RF |
−1.384(−1.80) |
−1.150 (−1.49) |
−0.849 (−1.10) |
1.890(2.50) |
6.467(8.91) |
6.265(10.17) |
5.186(13.24) |
| 先生 |
0.127 (1.38) |
−0.082 (−0.90) |
0.120 (1.32) |
0.154(1.71) |
0.169(1.96) |
−0.091 (−1.25) |
−0.014 (−0.30) |
| 呃 |
−0.055(−8.98) |
−0.056(−9.22) |
0.060(−9.82) |
−0.070(−11.74) |
−0.068(−11.90) |
−0.038(−7.89) |
−0.017(−5.77) |
| 圆形的 |
0.018 (0.92) |
0.019 (0.99) |
−0.008 (−0.40) |
−0.027 (−1.43) |
−0.024 (−1.32) |
−0.02 (−1.20) |
−0.013 (−1.39) |
| 调整R2(%) |
11.87 |
11.73 |
12.29 |
17.28 |
23.92 |
17.67 |
22.61 |
|
| 面板B:预测电力发展时期 |
|
1 d |
5 d |
10 d |
30 d |
60 d |
90 d |
120 d |
|
| 静脉注射 |
0.060(2.42) |
0.051(2.05) |
0.058(2.30) |
0.034 (1.38) |
0.026 (1.09) |
0.000 (−0.01) |
−0.011 (−0.45) |
| RF |
3.225(2.21) |
3.350(2.27) |
3.132(2.12) |
4.651(3.18) |
3.063(2.13) |
2.743(1.95) |
1.356 (0.89) |
| 先生 |
−0.449(−3.50) |
−0.224 (−1.73) |
−0.083 (−0.64) |
−0.161 (−1.25) |
−0.046 (−0.36) |
−0.008 (−0.06) |
0.004 (−0.87) |
| 呃 |
0.022(1.72) |
0.018 (1.33) |
0.014 (1.02) |
0.021 (1.58) |
−0.014 (−1.08) |
−0.033(−2.66) |
−0.042(−3.34) |
| 圆形的 |
0.043(2.09) |
0.019 (0.93) |
0.024 (1.13) |
−0.005 (−0.22) |
0.003 (0.15) |
−0.040 (−1.99) |
0.004 (0.21) |
| 调整R2(%) |
4.73 |
2.33 |
2.23 |
2.69 |
5.74 |
10.13 |
9.18 |
|
|
