我国燃油期货市场成交量和持仓量对价格波动的影响研究  

Research on Volume and Position Influence Price Fluctuations in China's Fuel Oil Futures Market

作　　者：冯梦黎[1] 马箐箐 

机构地区：[1]成都理工大学商学院,成都610051

出　　处：《成都理工大学学报（社会科学版）》2014年第3期63-68,共6页Journal of Chengdu University of Technology:Social Sciences

摘　　要：研究燃油期货市场成交量、持仓量对价格波动的影响,有利于降低燃油期货市场风险。建立EGARCH-t模型,分别考察成交量、持仓量以及同进考察成交量与持仓量对我国燃油期货价格波动的影响。研究结果显示:在分别考察成交量和持仓量时,当期成交量对价格波动方差具有比较明显的影响,滞后成交量与持仓量对价格波动方差都没有很显著的影响。在同时考察成交量和持仓量对价格波动方差的影响时,有A<B(若当日成交量和持仓量同时增加,则令当日价格波动幅度大小为A;若当日成交量减少(或不变),则令当日价格波动幅度大小为B)成立。同时,燃油期货市场的滞后成交量和持仓量对价格波动方差的影响不明显,说明我国燃油期货市场运行效率较好。It is the research of the influence which volumes and positions on the fluctuation of price in the fuel oil futures market,that can help to achieve the purpose of controlling the fuel oil futures market risk.In order to understand the development situation of the fuel oil futures market in China,it is the EGARCH-t model which can be set up to analyze problems with the method as follows：take volume and position into consideration respectively and consider both factors together to study the influence fluctuations in the price of fuel oil futures in our country.The result shows that：when taking volume and position into consideration respectively,the current volume has obvious effects on price fluctuation variance, lagging volume and position have no significant influence on variance of price fluctuation.When considering both factors,if the volume and position increase at the same time,assuming the size of price volatility is factor A;if the volume increase and position reduce（or constant）,assuming the size of price volatility is factor B;the result of research shows A〈B.Meanwhile, due to the lag of the fuel oil futures market volume and position in the impact of price fluctuation variance are not obvious,it is this result that explains the fuel oil futures market in China is better operating efficiently.

关 键 词：燃油期货 价格波动 市场成交量 持仓量 EGARCH-t模型 

分 类 号：F012[经济管理—政治经济学]