到期日效应

石油期货价格距到期日效应波动实证研究

Maturity Effect on Oil Futures Price in the World

中国硬麦期货交易的距到期日效应研究

To-Expire-Day Effect of Hard Winter White Wheat Trading in China 's Futures Market

期现货市场异常价格波动关系，主要反映在操纵、到期日效应以及危机期间三个方面。

Abnormal price volatility of the relationship between the spot market , mainly reflected in the manipulation of maturity effects and three during the crisis .

结果发现（1）三种期货品种都有显著的月份效应和到期日效应，但各品种的特征不相同；

Results are as follows : ( 1 ) All three futures species have remarkable monthly effect and settlement effect , but the characteristic of each species is different .

股指期货市场与现货市场存在较强的联动效应，表现为价格引导关系、波动率关系、到期日效应等，同时也产生了利用期现联动效应操纵获利的可能。

The strong correlation between spot and stock index futures market can be attributed to price leading , volatility and maturity effects , which is the base of manipulating .

为了防止期货到期日效应与现货月效应及假日效应等重叠，增大现货市场的波动性，本文建议将股指期货合约最后交易日设在月中。

To avoid the expiration-day effects of derivatives overlapping with monthly effect of cash market , the optimal last trading day of index futures is best set in mid-month .

基于有关文献中关于到期日效应的诊断方法，指出其中波动效应诊断方法中存在的缺陷。在此基础上，提出基于动态方差的诊断方法。

This paper briefly reviews the diagnosis approaches of earlier literatures on expiration day effects , points out the limitations of the diagnosis approaches on variance effects , and then puts forward the diagnosis approach based on dynamic variance .

运用t检验对权证的上市日效应和到期日效应进行了实证检验，结论是：中国权证的上市日效应和到期日效应在一日的时间间隔内并不显著。

This article has made an empirical analysis of issue date effect and the due date effect using t-test method . The conclusion is that the effect of warrants issue date and due date is not certainly remarkable in one day in China .

基于动态方差的指数期货到期日波动效应

Research on Volatility Effects on Expiration Day of Index Futures Based on Dynamic Variance