价格跳跃对流动性、波动率和交易活跃度的影响研究——基于沪深300指数期货实证研究
A Study on the Impact of Price Jumps on Liquidity, Volatility and Trading Activity—Based on an Empirical Study of CSI 300 Index Futures

近几年流动性、波动性及交易活跃度引起国内外学者的广泛关注，这对度量和控制金融资产的风险、揭示交易价格的形成及发现过程等都有重要指导意义。本文使用沪深300指数期货主力连续合约高频数据，结合BNS方法识别该合约发生跳跃的交易日，并运用Granger因果检验方法分别研究流动性、波动率及交易活跃度这三个指标在跳跃日和非跳跃日的因果关系。实证结果表明，无论我国股指期货市场在交易日内是否发生跳跃，该市场上的流动性、波动性均与交易活跃度指标之间均存在双向的Ganger因果关系。期货市场交易活跃度的另一重要指标——持仓量，在无跳跃发生时可引导流动性和波动率指标，但当存在跳跃时这些因果关系消失。
In recent years, liquidity, volatility and trading activity have attracted extensive attention from scholars at home and abroad, which have important guiding significance for measuring and control-ling the risk of financial assets, revealing the formation and discovery process of trading prices. In this paper, the high-frequency data of the main continuous contract of CSI 300 Index Futures are used to identify the trading day when the contract jumps in combination with the BNS method, and the Granger causality test method is used to study the causality between the three indicators of li-quidity, volatility and trading activity on the jump day and the non-jump day. The empirical results show that there is a two-way Ganger causality between liquidity, volatility and trading activity in China’s stock index futures market regardless of whether there is a jump in the trading day. Open interest, another important indicator of futures market trading activity, can guide liquidity and volatility indicators when there is no jump, but when there is a jump, these causal relationships disappear.