成交量、持仓量对中国有色金属期货市场价格波动影响的实证研究

Empirical Research into the Impact of Trading Volume and Open Interest on the Market Price Volatility of Chinese Nonferrous Metals Futures

基于高频数据的研究视角,将已实现波动率分解为连续波动和跳跃波动,同时将成交量和持仓量分别分解为可预期部分和非可预期部分,选取上海交易所2010年7月1日至2015年12月31日铜铝期货一分钟交易数据,从更微观的角度探究了中国有色金属期货市场上成交量、持仓量对价格波动的影响。研究结果表明,成交量对已实现波动率及其连续、跳跃部分均有显著正向影响,持仓量对已实现波动率及其连续、跳跃波动均有显著负向影响。成交量预期和非预期部分均对已实现波动率及其连续部分有正向影响,持仓量预期和非预期部分均对已实现波动率及其连续部分有负向影响,但由代表新信息到达的非预期成交量和非预期持仓量对已实现波动率及其分解部分的解释能力更强。

Based on the perspective of high frequency data,this paper decomposes realized volatility into continuous and discontinuous jump components.Meanwhile,volume and open interest are divided into expected and unexpected components,respectively.Using one minute high-frequency copper and aluminum transaction data from July 1,2010 to December 31,2015 of Shanghai stock exchange,this paper investigates the impact of trading volume and open interest on price volatility.The results show that trading volume has a positive impact on realized volatility and its continuous and discontinuous jump components.Open interest has a negative impact on realized volatility and its continuous and discontinuous jump components.The expected and unexpected trading volume have a positive influence on realized volatility and its continuous component but,contrary to the influence of open interest on realized volatility and its continuous component.Furthermore,the unexpected trading volume and open interest,which are caused by arrival of new information,have more explanatory power in realized volatility and its continuous and discontinuous jump decompositions.