标题： 中国股票指数期货市场中的高频领从关系：日历价差的逐笔动态 显示英文标题

标题： High-frequency lead-lag relationships in the Chinese stock index futures market: tick-by-tick dynamics of calendar spreads

摘要： 领-滞关系是市场动态的核心组成部分，为高频交易者（HFTs）的交易行为以及信息在细粒度层面的流动提供了宝贵的见解。 本文研究了中国金融期货交易所（CFFEX）中不同到期日的股票指数期货合约之间的领-滞关系。 利用高频（逐笔）数据，我们分析了近月期货合约的价格变动如何影响远期合约（如次月、季度和半年度合约）的价格变动。 我们的研究结果显示了一种一致的价格发现模式，即近月合约以一个“tick”领先于其他合约，这种领先主要由流动性驱动。 此外，我们还识别出“领-滞价差”的负反馈效应可以预测领先资产的回报。 回测结果表明，基于领-滞价差信号的交易具有盈利能力，即使考虑了交易成本。 总之，我们的分析为理解和利用期货市场的演变动态提供了有价值的见解。 显示英文摘要

摘要： Lead-lag relationships, integral to market dynamics, offer valuable insights into the trading behavior of high-frequency traders (HFTs) and the flow of information at a granular level. This paper investigates the lead-lag relationships between stock index futures contracts of different maturities in the Chinese financial futures market (CFFEX). Using high-frequency (tick-by-tick) data, we analyze how price movements in near-month futures contracts influence those in longer-dated contracts, such as next-month, quarterly, and semi-annual contracts. Our findings reveal a consistent pattern of price discovery, with the near-month contract leading the others by one tick, driven primarily by liquidity. Additionally, we identify a negative feedback effect of the "lead-lag spread" on the leading asset, which can predict returns of leading asset. Backtesting results demonstrate the profitability of trading based on the lead-lag spread signal, even after accounting for transaction costs. Altogether, our analysis offers valuable insights to understand and capitalize on the evolving dynamics of futures markets.