沪深300股指期货动态价量关系研究  

Study on the Dynamic Relationship between Price and Volume of CSI 300 Stock Index Futures

作　　者：曾廷敏[1] 林祥友[1] 王勇[1] 

机构地区：[1]成都理工大学商学院,成都610059

出　　处：《西部论坛》2013年第6期62-68,共7页West Forum

基　　金：中央高校基本科研业务费西南财经大学专项基金资助项目(JBK120210)"股指期货市场发展和合约存续中价格发现能力的时变性研究";成都理工大学"金融与投资优秀科研创新团队"培育资助项目(KYTD201303);成都理工大学科研基金资助项目(2011YR10)"股指期货合约存续期不同阶段价格发现的时变性研究"

摘　　要：利用沪深300股指期货合约的5分钟高频交易价量数据,分析股指期货合约的价量特征及其动态关系,结果表明:股指期货合约的价格波动率与成交量、相对成交量和相对持仓量之间均存在显著正向关系,而与持仓量之间存在显著负向关系;与预期成交量和未预期成交量都显著正相关,且未预期成交量的正向影响更大;与预期持仓量和未预期持仓量都显著负相关,且未预期持仓量的负向影响更大;成交量和持仓量的变化对股指期货价格波动的影响是不对称的,正的成交量和持仓量冲击比负的成交量和持仓量冲击的影响更大,即未预期成交量和未预期持仓量为正时对价格波动的影响会更大。股指期货市场的监管者和投资者可以通过观察成交量、持仓量、相对成交量、相对持仓量等显性指标及其变化,判断价格波动和市场风险等隐性指标的变化趋势,进而实施正确的监管政策和交易策略。The dynamic relationships between price and volume of CSI 300 stock index futures are empirically examined based on 5 minutes high frequency transaction price and volume data of CSI 300 stock index futures contracts, and the results show that there is obviously positive direction relationship between price volatility and trading volume and between relative trading direction relation with position volume, trading volume or unexpected trading volume and relative position volume, but there is significantly negative that there is obviously positive relationship between the volatility and expected volume, furthermore, the positive influence of unexpected trading volume is bigger, that there is significantly negative relationship between the volatility and expected position volume or unexpected position volume, furthermore, the negative influence of unexpected position volume is bigger, that the influence of the change of trading volume and position volume on the volatility of stock index futures price is asyrmnetric, and that the influence of the shock of positive trading volume and position volume is bigger than that of negative trading volume and position volume, i.e. the influence on price volatility is bigger when unexpected trading volume and unexpected position volume are positive. The supervisors and investors in stock index futures market can analyze the changing trends of the implicit indicators such as price volatility explicit indicators such as trading volume, position volume, relatively on as well as their changes in order to implement proper supervising trading and market risk and so on by monitoring volume, relative position volume and so policies and trading policies.

关 键 词：股指期货 价量关系 价格波动 GK波动率 成交量 持仓量 相对成交量 相对持仓量 预期成交量 预期持仓量 

分 类 号：F832.51[经济管理—金融学] F224