期货市场的交易量与价格波动  

Trading Volume and Price Volatility in Futures Markets

作　　者：马瑾[1] 李欣 

机构地区：[1]大连商品交易所,大连116023 [2]中国证监会,北京100033

出　　处：《上海金融学院学报》2013年第5期66-73,共8页Journal of Shanhai Finance University

摘　　要：本文检验了美国期货市场WTI原油、S&P500指数和10年期国债品种的日内、日间价格波动与日内交易量、隔日交易量之间的关系,发现预期的日内和隔日交易量都有平抑期货市场价格波动的作用,非预期的隔日交易量与期货价格波动之间有正相关关系,非预期的日内交易量对价格波动的影响不显著。从信息对称性的角度分析,预期的交易量中含有更多信息,能抑制期货价格的偏离;非预期的交易量主要由信息反馈者提供,他们往往对期货价格的变动做出过度反应,从而加剧价格波动。This paper examined the relationship between futures price volatility and trading volume in the futures markets of WTI, S＆PS00 index and the 10-year Treasury respectively, though dividing the trading volume into inter-day volume and out-day volume. We found there is a negative correlation between the expected volume and futures price volatility, and a positive correlation between the unexpected out-day trading volume and price volatility, but no significant correlation between unexpected inter-day trading volume and price volatility. Consistent with models of asymmetrically informed traders, our results suggested that, the expected trading volume which contains more information, can inhibit the price deviations; unexpected trading volume mainly provided by the feedback traders who tend to overreact to the futures price changes, can exacerbate price volatility.

关 键 词：期货市场 波动率 交易量 信息 

分 类 号：F830.9[经济管理—金融学]