上海期货交易所燃料油期货量价关系的实证研究

The Empirical Study on the Relationship of Trading Volume and Price of Fuel Oil Futures in Shanghai Futures Exchange

期货价格波动与成交量和持仓量之间的关系是目前期货市场上研究的热点问题。我国期货市场发展至今已有十多年的时间,但对期货市场期货交易产品量价关系的相关研究比较缺乏。本文立足于我国燃料油期货的量价关系,搜集了从2005年1月4日至2007年12月28日之间上海期货交易所燃料油期货合约每天的收盘价、成交量和持仓量等资料,使用了单位根检验、建立VAR模型、协整检验、格兰杰因果检验、脉冲响应等方法,来实证研究上海期货交易所燃料油期货价格波动与成交量、持仓量关系的动态关系,从而揭示我国期货市场的某些运行特征。通过模型分析得出的结论:燃料油期货成交量和持仓量对其价格具有一定的影响,虽然这种影响在长期中并不显著。

The relationship between futures price volatility and trading volume and positions has been one of the hot issues in the futures market.China’s futures market has been developed for more than 10 years,but the relationship between price and trading volume of the futures market is lack of research.Based on the volume of China’s fuel oil futures prices,this paper collects data of closing price,volume and open interest everyday from January 4,2005 to December 28,2007 ofoil fu- tures contracts in Shanghai Futures Exchange.Using methods of the unit root test,establishment of VAR models,co integra- tion test,Granger causality test,and impulse response,empirically studies the dynamic relationship between price volatility and trading volume of fuel oil futures in Shanghai Futures Exchange,which reveals the inherent characteristics of China’s futures market.Through model analysis it concludes that trading volume and positions of fuel oil futures have a significant im- pact on price,although this influence is not remarkable in the long run.