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指数流动性噪声是影响指数是否适合充当标的物的重要因素 ,指数流动性噪声越大 ,则衍生品对其进行复制和套利的误差就越大 ,因此一个好的标的指数应该具有很低的流动性噪声水平。本文实证了上证 1 80指数流动性噪声水平 ,发现 :① 1 80指数的整体流动性噪声水平很低 ,适合充当标的指数 ;② 1 80指数中的成分股权重越大 ,产生的噪声成分越少 ,建议上交所对上证 1 80成分股的权重比例进行调整。
Index liquidity noise is an important factor influencing the index’s suitability as the subject matter. The larger the index liquidity noise, the greater the error that the derivative will copy and arbitrage. Therefore, a good index should have low flow Sex noise level. This paper demonstrates the liquidity noise level of the SSE 180 Index and finds that: ① The overall liquidity noise level of the 1 80 Index is very low and suitable for the underlying index; ② The larger the weight of the constituent stocks in the 1 80 index, the less noise components are generated , It is recommended that the Shanghai Stock Exchange on the SSE 180 constituent stocks to adjust the weight ratio.