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  

A Empirical Research on The Relationship between Trading Volume, Return and Volatility in Chinese Futures Markets

作　　者：叶舟[1] 李忠民[1] 叶楠[2] 

机构地区：[1]天津大学管理学院,天津300072 [2]上海海事大学经济管理学院,上海200135

出　　处：《系统工程》2005年第4期28-34,共7页Systems Engineering

摘　　要：通过建立ARMA—EGARCH—M模型对中国期货市场铜、铝交易量与收益率及其波动的关系做了一个全面的实证研究。结果表明:同期交易量与收益率波动正相关,将交易量分为预期与非预期两部分后发现非预期部分对收益率的波动有更大的影响;交易量的引入并没有消除波动的ARCH效应;中国期货市场杠杆效应不明显;铜在期货市场的运行有效率,而铝却缺乏效率。This study investigates the relation between trading volume, return and volatility in Chinese futures markets. The study found that contemporaneous volume provides significant and positive explanation for volatility. When volume is partitioned into expected and unexpected components, the unexpected component has a large effect on volatility. The study also shows that the ARCH effect of volatility is not diminished when introducing trading volume into variance equation. The leverage effect is negligible in Chinese futures markets. Finally, this study suggests a degree of efficiency in copper futures markets but inefficiency in aluminum futures markets.

关 键 词：期货市场 波动性 交易量 EGARCH模型 

分 类 号：F830[经济管理—金融学]