期货交易活跃度、波动性与投资者结构关系的实证研究

Empirical Study on Trading Activity,Price Volatility and Investors Structure of Futures Market

本文将期货市场上的投资者分为个人与机构两类,基于白糖、优质强筋小麦和PTA三个期货品种的样本数据,探讨了交易结构和持仓结构对期货交易活跃度和期货价格波动性的影响规律。研究结果表明:期货交易活跃度主要受交易结构的影响,而期货价格波动大小主要受持仓结构的影响;根据最优的弹性二次模型结果,两者的弹性均呈现出"边际递减"的经济学变化规律。

Based on the classification of retail and institutional investors and the sample data of Sugar Future,Wheat Future and PTA Future,this paper discusses how trading volume structure as well as position structure affects trading activity and price volatility.This paper proves that trading activity is mainly affected by the structure of trading volume and price volatility mainly by the position structure.We also find out that both elasticity changes with the law of diminishing marginal utility based on the elastic quadratic model.