我国期货市场期货价格波动与成交量和空盘量动态关系的实证分析被引量：50

An Empirical Study of Dynamic Relation among Futures Volatility,Trading Volume and Open Interest in China Futures Markets

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摘要本文对我国期货市场期货价格波动与成交量和空盘量之间的动态关系进行了实证研究,结果显示:在分别考察成交量和空盘量对期货价格波动方差的影响时,所有品种的当期成交量对期货价格波动方差均具有显著的影响,铜、铝的当期空盘量对期货价格波动方差具有显著的影响;铜、橡胶、小麦滞后期成交量以及铝、小麦的滞后期空盘量对期货价格波动方差具有显著的影响。而在同时考察成交量和空盘量对期货价格波动方差的影响时,所有品种的当期成交量对期货价格波动方差均有显著的影响,但只有铜、铝的当期空盘量对期货价格波动方差具有显著的影响;铜和大豆的滞后期成交量和空盘量对期货价格波动方差没有显著的影响;铝的滞后期空盘量对期货价格波动方差具有显著的影响,但滞后期成交量对期货价格波动方差没有显著的影响;橡胶和小麦的滞后期成交量和空盘量对期货价格波动方差均有显著的影响,但橡胶的滞后期成交量对期货价格波动方差的影响是反向的。

作者华仁海仲伟俊

机构地区南京财经大学金融学院东南大学经济管理学院

出处《数量经济技术经济研究》 CSSCI 北大核心 2004年第7期123-132,共10页 Journal of Quantitative & Technological Economics

关键词期货价格波动性成交量空盘量

分类号 F832.5 [经济管理—金融学]

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参考文献13

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