我国股指期货市场价量关系——基于分位数回归模型的实证研究

The Relationship of the Price Volatility of the China's Stock Index Futures' and Volume:Based on Quantile Regression Model

基于混合分布假说理论,采用分位数回归方法对沪深300股指期货价量关系进行分阶段深层次剖析。结果显示:股指期货市场收益率与成交量之间呈正相关关系,即存在"价量齐扬"和"量缩利减"的现象,且跌停板附近的价跌量涨效应弱于在涨停板附近的价量齐扬效应;第二阶段的收益率和成交量的分位数回归系数波动较大,意味着第二阶段的市场风险大于第一阶段;收益率与成交量总体上呈现动态正相关关系,但成交量在价格上涨和下跌时的变化不稳定,具有明显的不对称性。这反映出我国股指期货市场较强的投机性,因此有必要通过各种方法进一步提高期货市场的运行效率,充分发挥期货市场的功能。

Based on the theory of mixture distribution hypothesis,a quantile regression method is used to analyze the relationship between stock index futures price and trading volume in Shanghai and Shenzhen stock index 300.The results show that：On the whole,there is a positive correlation between stock index futures market yields and volume.Near the limit down price down volume up is weaker than near the limit up price and volume simultaneous rise.The regression coefficient of the second phase fluctuations is larger,which means that the second phase of the market risk is greater than the first stage.Stock index futures market returns and trading volume on the whole show a dynamic positive correlation.In the price rise and fall,volume is instability and asymmetry.This reflects our country stock index futures market speculation is strong.It needs to take measures to improve the operation efficiency and give full play to the function of the futures market.