摘要
对上海铜铝期货价格、成交量与持仓量之间的动态关系进行研究,有助于对期货价格作出更加合理的解释,且可以强化对期货市场的风险管理以及帮助套期保值者和套利者更好地把握期货市场的脉搏。本文利用GARCH模型研究了期货价格、成交量与持仓量之间的相关性,并利用协整检验及ECM模型研究了它们之间的长期均衡关系和溢出效应。在数据使用方面,这里采用了2006年1月4日到2009年6月30日上海期货市场交易非常活跃的铜、铝期货价格、成交量及持仓量的日数据,对其进行基本的处理分析后,通过GARCH模型分析发现铜铝期货的价格和其当期及滞后一期的成交量、持仓量之间存在显著的相关关系。通过协整检验及ECM模型发现它们之间还存在长期的均衡关系及溢出效应。
According to study the dynamic relationship among price,volume and open interest of Shanghai Copper and Aluminum futures,the theory helps to give a more reasonable explanation on the futures prices.It also can strengthen risk management of the future market,to help hedger and arbitrager who could better to grasp the pulse of the future market.This paper adopts GARCH model to empirical studies the relationship among price,volume and open interest,the co-integration test and ECM model are also used to empirical study the long-term equilibrium relationship and spillover effects between them.The daily data of Copper and Aluminum futures prices,volume and open interest from January 4,2006 to June 30,2009,which are trading active in Shanghai futures market are used.After analyzing the data,it can be seen from GARCH models that the Copper and Aluminum futures prices,volume and open interest have a strong correlation.And through the co-integration test and the ECM models we found that they still to be the long-term equilibrium relationship and the spillover effects.
出处
《重庆师范大学学报（自然科学版）》
CAS
2010年第5期87-91,共5页
Journal of Chongqing Normal University:Natural Science
关键词
成交量
持仓量
相关性
volume
open interest
correlation
