基于高频数据的中国有色金属期货市场量价关系研究

根据Bessembinder和Seguin （1993）的研究成果，将成交量和持仓量分解为可预期部分和非可预期部分，并考虑了正负已实现半方差和成交量、持仓量的不同冲击对期货市场的不同影响，构建了量价关系基础模型、基于成交量和持仓量分解的量价关系模型和量价关系非对称模型，并利用中国铜铝期货高频数据分别对各模型进行实证分析。研究发现，中国有色金属期货市场的价格波动与成交量和成交相对增量均存在正向相关关系，与持仓量和持仓相对增量均存在负向相关关系。预期成交量和非预期成交量均对价格波动有正向影响，但非预期成交量对价格波动的影响更大；预期持仓量和非预期持仓量均对价格波动有负向影响，但非预期持仓量对价格波动的影响更大，即有色金属期货市场的价格波动主要是由代表新信息的非预期成交量和非预期持仓量引起。相比于下偏已实现半方差，成交量和持仓量对上偏已实现半方差有更强的解释力。正的成交量冲击比负的成交量冲击对价格波动的影响更大，持仓量亦是如此。

The Price-Volume Relation of Chinese Non-ferrous Metals Futures Market: Evidence from High Frequency Data

Research on the relationship between volume and price allows market regulators and policymakers to more accurately assess the trading activity in the market and provide guidance for effective market regulation, trend analysis and decision-making. Therefore, research on the relationship between volume (volume and open interest) and price volatility has important theoretical and practical significance. Following Bessembinder and Seguin (1993), volume and open interest are divided into expected and unexpected components. The basic price-volume relation model, price-volume relation model based on the decomposition of the trading volume and open interest, and the asymmetric model on the price-volume relation to account for the positive and negative realized semi-variance and the different shock of trading volume and open interest to futures market are constructed, and the empirical research is made using high frequency data of Shanghai Futures Exchange copper and aluminum futures. The results show that there is positive correlation between the volatility and trading volume and between relative trading volume, but there is significantly negative correlation between volatility and open interest and between relative open interest in Chinese non-ferrous metals futures market. The expected and unexpected trading volume have positive influence on price volatility. Furthermore, the unexpected trading volume has a bigger influence on price volatility. The expected and unexpected open interest, on the contrary, have negative influence on price volatility. Furthermore, the unexpected open interest has a bigger influence on price volatility. That is to say, the price volatility of non-ferrous metals futures market is mainly induced by unexpected trading volume and unexpected open interest, which represent the new information. The trading volume and open interest have stronger explanatory power in upside realized semi-variance than downward realized semi-variance. The influence of positive trading volume shock on price volatility is bigger than that of negative trading volume shock, which is the same with open interest. The research findings have important reference value for judging and forecasting the financial market trend and risk avoidance.