我国燃料油期货收益、交易量关系的实证研究

An Empirical Study on the Relationship between Fuel Oil Futures Returns and Its Trading Volume

针对我国燃料油期货市场的价格收益、交易量的关系进行了实证研究,研究结果表明,收益与交易量之间不存在相关关系,绝对收益与交易量之间存在正相关关系;收益与成交量以及绝对收益与成交量之间不存在任何方向的G ranger因果关系;收益具有自相关、异方差的特点,收益波动的条件方差对条件收益没有直接影响;燃料油的期货收益波动方差与成交量之间没有直接关系,交易量对收益的波动方差也没有解释作用。

This paper explors the relationship between price returns and trading volume of our fuel oil futures market is studied. The results show that there exists no correlation between returns and trading volume, but there exists a positive correlation between absolute returns and trading volume. Granger causality demonstrates that there exists no causal relation between trading volume and returns or absolute returns. Returns are characterized by autocorrelation and heteroskedasticity in returns, and the conditional variance of volatility of returns has no direct impact on conditional returns. The trading volume of fuel oil futures has no direct impact on variance of volatility of returns, or to say, the trading volume can＇t explain variance of volatility of returns.