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中国期货市场波动性、交易量、市场深度动态关系的日内特征分析 被引量：1

Analysis on Intraday Features of the Dynamic Relationships in Market Undulation, Volume and Market Depth of Chinese Option Markets
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摘要 根据微观结构理论,运用5分钟高频数据对我国上海期铜、大连豆粕、郑州强麦期货市场的收益率波动性、交易量和未平仓合约数代表的市场深度的变动模式进行研究。应用Granger因果关系检验和向量自回归模型(VAR),实证分析了三者之间的动态关系,并且就此给出了相关的解释。
作者 刘卉 李晔 王远志
机构地区 天津大学管理学院
出处 《长春理工大学学报（社会科学版）》 2005年第4期44-48,共5页 Journal of Changchun University of Science and Technology（Social Sciences Edition）
关键词 期货市场 中国 高频数据 向量自回归模型(VAR)
分类号 F724.5 [经济管理—产业经济]
  • 相关文献

参考文献7

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  • 7华仁海,仲伟俊.我国期货市场期货价格收益、交易量、波动性关系的动态分析[J].统计研究,2003,20(7):25-30. 被引量：79

二级参考文献15

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共引文献78

同被引文献20

  • 1华仁海,仲伟俊.我国期货市场期货价格波动与成交量和空盘量动态关系的实证分析[J].数量经济技术经济研究,2004,21(7):123-132. 被引量：50
  • 2刘庆富,仲伟俊,梅姝娥.空盘量变动对我国期货市场期货价格收益波动性的影响[J].系统工程理论方法应用,2005,14(1):28-32. 被引量：13
  • 3田新民,沈小刚.基于交易量和持仓量的期货日内价格波动研究[J].经济与管理研究,2005,26(7):78-80. 被引量：20
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  • 5Karpoff J M. The relation between price changes and trading volume: a survey[ J]. Journal of Financial and Quantitative Analysis, 1987, 22:109-126.
  • 6McCarthy J, Najand M. State space modeling of price and volume dependence: evidence from currency futures [ J ]. Jour- nal of Futures Markets, 1993, 13:335-344.
  • 7Foster A J. Volume-volatility relationships for crude oil futures markets[ J]. Journal of Futures Markets, 1995,15 : 929 - 951.
  • 8Fujihara R A, Mougoue M. Linear dependence, nonlinear dependence and petroleum futures market efficiency[ J]. Jour- nal of Futures Markets, 1997, 17:75-99.
  • 9Kocagil A E, Shaehmurove Y. Return-volume dynamics in futures markets[ J ]. Journal of Futures Markets, 1998,18:399 - 426.
  • 10Copeland T E. A model of asset trading under the assumption of sequential information arrival [ J ]. The Journal of Fi- aanee, 1976, 31 : 1149 - 1168.

引证文献1

二级引证文献2

长春理工大学学报（社会科学版）
2005年 第4期

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