期货市场交易量与收益及波动关系的分位分析  

The Quantile Analysis of the Relationship between Trading Volume,Return and Volatility in Futures Market

作　　者：李丹[1] 蔡义杰[1] 

机构地区：[1]西安交通大学金禾经济研究中心,西安710049

出　　处：《经济问题》2009年第2期111-113,共3页On Economic Problems

基　　金：国家985二期项目(07200701)

摘　　要：采用分位数回归方法对上海期货市场铜、铝和燃料油期货收益及波动与成交量的动态关系进行实证研究。该方法允许估计不同分位的方程,从而得到条件分布的完整描述。结果显示上海期货市场期货价格收益具有异方差的特点;存在量价齐扬和量价背离现象;收益波动和成交量之间随着波动增大呈现逐渐加强的正向关系,从而说明我国期货市场信息传播符合混合分布假说。This study tries to overcome the limit of traditional econometric methods by employing quantile regression technique based on the data of Shanghai futures market. This new approach permits estimating various quantile functions, putting them together thus provides a more complete description of the underlying conditional distribution. The evidences show that return series exists significantly heteroscedasticity and a large increase in volume is accompanied by either a large rise or fall in price in futures market; there is positive asymmetric relation between volatility and trading volume, which confirms that the information transferring mechanism in Chinese futures market follow the mixture of distributions hypothesis.

关 键 词：期货市场 分位数回归模型 量价关系 波动性 

分 类 号：F830.9[经济管理—金融学]