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小麦期货市场交易量与收益波动性关系探讨 被引量:1

Study of the Relationship between Trading Volume and Return Volatility in the Wheat Futures Market
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摘要 本文通过采用AR-EGARCH(1,1)模型对小麦期货市场的交易量与收益波动性关系进行了实证研究,并得出以下结论:小麦期货市场的收益波动性具有集聚性和持续性,但没有杠杆效应;当期期货交易量对收益波动性具有显著的影响,而滞后一期的交易量对收益波动没有影响;将交易量分为预期交易量和非预期交易量后,发现非预期交易量对收益波动地影响大约是预期交易量的8倍。 This paper takes AR-EGARCH(1,1) model to study the relationship between trading volume and return volatility in the wheat futures market.This study finds that return volatility has clustering effect and persistence but no leverage effect.The contemporaneous volume positively affects return volatility,but the lagged one volume has no effect on the return volatility.Finally,this study found that the effect of unexpected volume on return volatility is 8 times than the effect of expected volume when volume is divided into expected volume and unexpected volume.
出处 《金融理论与实践》 北大核心 2011年第11期87-90,共4页 Financial Theory and Practice
关键词 期货市场 小麦期货 收益波动性 EGARCH模型 Futures Market Wheat Futures Market Return Volatility EGARCH Model
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  • 2叶舟,李忠民,叶楠.期货市场交易量与收益率及其波动关系的实证研究——ARMA—EGARCH—M模型的应用[J].系统工程,2005,23(4):28-34. 被引量:15
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