我国国债期货动态价量关系研究  

A Study on the Dynamic Relationship between Price and Volume of Bond Futures based on the High Frequency Data

作　　者：王玉霞[1] 史家亮[1] 

机构地区：[1]东北财经大学经济学院,辽宁大连116025

出　　处：《兰州财经大学学报》2017年第3期1-14,共14页Journal of Lanzhou University of Finance and Economics

摘　　要：本文对我国国债期货的动态价量关系进行研究,首先通过Granger因果检验研究收益率与交易量、持仓量之间的关系,然后利用EGARCH-M模型诠释收益率和GK波动率、改进型EWMA波动率之间的关系,最后使用B-S模型构造法和EGARCH模型法解释波动率与交易量、持仓量之间的关系。研究表明,国债期货市场信息传播方式符合连续信息到达假设,均值方差对收益率的影响显著,即收益与风险正相关,交易量、相对交易量、相对持仓量、非预期交易量和非预期持仓量等显性指标与波动率之间的关系显著,并且非预期交易量、非预期持仓量对波动率的影响远大于预期交易量、预期持仓量对波动率的影响,国债期货市场价格波动中的杠杆作用和非对称效应不明显。因此显性指标的变化可以预测隐性指标的走向,投资者可以根据收益和风险的变化及时调整自己的投资策略;监管者可以及时了解市场风险,做好预防风险走向极端的准备,提高风险监控和市场监管能力。This paper studies the dynamic relationship between price and volume of Chinas bond futures. It started with the study on the relationship between the returns, trading volume and open interest through the Granger causality test. And then,it uses EGARCH - M model to interpret the relationship between the returns,GK volatility or improved EWMA volatility. Finally,it explains the relationship between the vola-tility, trading volume and open interest by the method of B - S tectonic model or EGARCH model. The re-sults show that ： the communication of bond futures market accords with the sequential information arrival hypothesis, the mean variance has a marked effects on returns. It also reflects that the dominant indexs like the trading volume, relative trading volume, relative open interest, unexpected trading volume and un-expected open interest have a remarkable correlation with the fluctuation ratio. Compared with the expec-ted trading volume and expected open interest, the unexpected trading volume and unexpected open inter-est have a far greater impact on the volatility. The leverage and the asymmetric effect in the bond futures is not obvious. Thus,the change of dominant indicators can predict the tendency of implicit indicators. Theinvestors can promptly adjust their investment strategies according to the change of returns and risk. Meanwhile, the regulators can timely understand the market risk so that to improve the ability of risk mo-nitoring and market supervision.

关 键 词：国债期货 价量关系 GK波动率 改进EWMA模型 EGRCH模型 

分 类 号：F812.5[经济管理—财政学] F224