期货波动与交易量和市场深度关系的实证研究

Volatility,trading volume,market depth: Evidence from copper futures in Shanghai futures exchange

研究不同市场状况下铜期货收益波动行为及其与交易量、市场深度间的关系,结果表明交易量对铜期货收益波动有显著的正影响.在交易量小的市场状况下,持仓量可减缓铜期货收益波动,高持仓量能更多地减缓市场波动,交易期和非交易期对波动有显著的负影响.在交易量大的市场状况下,持仓量增加了铜期货收益波动,低持仓量会生成更大的市场摩擦.在交易量大、持仓量高的市场状况下,非交易期波动高于交易期波动,表明在我国铜期货价格形成过程中,市场更多利用离岸信息.

This paper studies the behavior of copper future return volatility and its relationship with trading volume and market depth under different market conditions. Test results show that volatility was positively related to trading volume, but negatively to open interest. In a market characterized by low volume, open interest lowered volatility. The higher the open interest was, the lower the volatility was. Trading and non-trading hours had negative impact on volatility significantly. Low depth added to more market friction and increased volatility during heavy trading. Greater volatility for non-trading returns than trading returns in markets with deep depth and heavy trading may reveal market＇s use morn offshore information than domestic information in the pricing mechanism.