| 上海铜期货日流动性与日波动性关系的实证研究 |
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| 引用本文： | 韩小龙,曹奇.上海铜期货日流动性与日波动性关系的实证研究[J].北京理工大学学报(社会科学版),2006,8(2):64-67. |
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| 作者姓名： | 韩小龙 曹奇 |
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| 作者单位： | 天津大学,管理学院,天津,300072;中国工商银行,北京分行,北京,100072 |
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| 摘 要： | 本文对上海期货交易所铜期货市场的日流动性和波动性进行了实证研究。在考察交易量与波动的关系时借鉴了混合分布假设理论(MDH),而在考察流动性比率与波动性的关系时则在前人基础上建立了新的模型。通过实证得出交易量与波动率有显著的正相关关系的结论。而在考察流动性比率与波动性关系时,却发现二者并没有显著的关系。
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| 关 键 词： | 铜期货市场 流动性 波动性 |
| 文章编号： | 1009-3370(2006)02-0064-04 |
| 收稿时间： | 2005/6/28 0:00:00 |
| 修稿时间： | 2005年6月28日 |
An Empirical Analysis of the Relation between Daily Liquidity and Volatility in the Shanghai Copper Futures Market |
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| HAN Xiao-long and CAO Qi.An Empirical Analysis of the Relation between Daily Liquidity and Volatility in the Shanghai Copper Futures Market[J].Journal of Beijing Institute of Technology(Social Sciences Edition),2006,8(2):64-67. |
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| Authors: | HAN Xiao-long and CAO Qi |
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| Institution: | 1.School of Management, Tianjin University, Tianjin 3000722.China Industrial and Commercial Bank Beijing Branch, Beijing 100072 |
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| Abstract: | This paper analyzes the relation between daily liquidity and volatility in the Shanghai cooper futures market in an empirical way. When studying the relationship between trade volume and volatility, the Mixture Distribution Hypothesis theory is applied. When studying the relation between liquidity ratio and volatility, a new model is created. The conclusions are as follows: the trade volume and volatility is evidently positively correlative while the liquidity and volatility is not related at all. |
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| Keywords: | Copper futures market liquidity volatility |
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