多市场交易下中国股票市场和衍生品市场动态量价关系  

Dynamic Relationships of Volume and Price between Chinese Stock and Derivatives Market in Multi-Market Trading

作　　者：张易 熊燕[2] 李蒲江 

机构地区：[1]西南财经大学体育学院 [2]西南财经大学证券与期货学院 [3]西南财经大学经济与管理研究院

出　　处：《财经科学》2018年第1期28-40,共13页Finance & Economics

摘　　要：本文以目前我国多市场交易下的上证50股指、50股指期货和50ETF为研究对象，采用CGW（1993）和Wang（1994，2002）的方法来研究中国股票市场及其衍生品市场在收益上的动态量价关系，得到多市场交易背景下的上证50股指、50股指期货和50ETF存在显著的正向动态量价关系，且ETF的动态量价关系最大，其次是现货指数，股指期货的量价关系最小，且动态量价关系会在当期体现出来而非上一期；进一步采用GARCH和BEKK—MVGARCH模型来研究股市及其衍生品在波动率上的动态量价关系，但没有发现显著的多市场交易下波动率的动态量价关系。研究结论为探究我国多市场交易下的运行规律和发展完善提供了经验证据。The paper uses the Shanghai50 stock index and its derivatives as the object which is based on Multi-Market Trading. We use methods of CGW（ 1993）and Wang（ 1994, 2002）to investigate the Dynamic Volume-Price Relation-ships in returns and found ShanghaiS0 stock index, 50 index futures and 50ETF all have positive dynamic relation be- tween quantity and price significantly. The highest Dynamic Volume-Price Relationship is ETF, the second is the spot index, the third is futures. The dynamic relationship between quantity and price will be reflected in the current period rather than a period before. The study further investigates the Dynamic Volume-Price Relationships in volatility which we found no significant effect in these Multi-Market Trading market. The research conclusion is helpful to regulators and investors to implement the right regulatory and investment strategy.

关 键 词：多市场交易 衍生品 动态量价关系 BEKK—MVGARCH 

分 类 号：F121.26[经济管理—世界经济]