我国期货市场交易量、空盘量与期货价格收益之间动态关系的实证研究

交易量和空盘量是衡量期货市场交易活跃程度的两个重要指标。将交易量、空盘量分别分解为可预期和不可预期两部分,可更准确地研究交易量、空盘量与期货价格收益之间的动态关系。实证结果表明,交易量与期货价格收益之间具有正向关系,空盘量与期货价格收益之间具有负向关系。总体而言,在空盘量不变的情况下,期货价格收益的波动性随着交易量的增加而加大,随着交易量的减少而降低;而当交易量不变的情况下,期货价格收益波动性随着空盘量的增加而降低,随着空盘量的减少而增加,且不可预期部分对期货价格收益的影响要比可预期部分对价格收益的影响大许多。同时,从信息角度对实证结果分别进行解释,可为正确认识我国期货市场的微观结构与价格形成机制提供参考依据。

Empirical research on dynamic relationship between volume, open interest and returns in China's futures market

The volume and open interest, which can describe changes of volatility, are two important indices in futures market. The dynamic relationships of volatility in volume, open interest and returns in China’s futures market are empirically investigated by partitioning open interest into expected and unexpected components. The empirical results show that the volume has positive and the open interest has negative impact on volatility of returns respectively. Generally, the volume will increase the volatility of returns with the volume increase if the open interest is constant. And the open interest will decrease the volatility of returns with the open interest decrease if the volume is constant. In addition, the change in unexpected component has much greater effect on volatility than in expected component in volume and open interest respectively. In addition, empirical results have been explained respectively by using informational economics. The results obtained give meaningful insights into the microstructure in China’s futures market and are helpful to mechanism of price.