成交量、持仓量对我国大豆类期货价差波动影响的实证分析  

An Empirical Analysis of the Impact of Trading Volume and Open Interest on Soybean Futures Price Volatility

作　　者：李志斌[1] 陈昆[1] 

机构地区：[1]南京审计学院金融学院,江苏南京211815

出　　处：《南京审计学院学报》2014年第4期66-74,共9页journal of nanjing audit university

基　　金：江苏省高校哲学社会科学基金(2013SJD790016);江苏省社会科学基金(11EYB013)

摘　　要：采用GARCH(1,1)模型就成交量、持仓量对大豆类期货价差波动率的影响进行实证分析,结果显示:当期成交量、持仓量对大豆期货价差波动的整体影响是显著的;滞后成交量、持仓量对大豆期货价差波动的整体影响也是显著的;当成交量、持仓量同时进入条件方差方程时,它们对大豆类期货价差波动的影响整体上也是显著的。这一结论揭示了我国大豆期货市场信息传递过程,验证了我国大豆期货市场的信息非有效性,对期货市场投资者以及期货市场监管者具有一定的借鉴意义。On the basis of GARCH model, this paper makes an empirical analysis about the impact of trading volume and open interest on soybean futures price volatility. This study finds that current trading volume and open interest have a significant effect on soybean futures price volatility, and contemporaneous （lagged） trading volume and open interest have the same effect on soybean futures price volatility. This study also shows that trading volume and open interest have an overall significant effect on soybean futures price volatility when they enter the conditional variance equation simultaneously. This study sheds light on the information dissemination procedures and informational inefficiency in soybean futures markets, which could be of interest to futures market investors and regulators.

关 键 词：GARCH模型 成交量 持仓量 金融创新 期货市场 金融衍生产品 大豆类期货 保证金比率 

分 类 号：F830.93[经济管理—金融学]