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基于高频数据的股指期货动态价量关系研究 被引量：4

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摘要 利用股指期货合约在非主力合约期和主力合约期的五分钟高频交易价量数据,计算价格方面的五分钟收益率和GK波动率,五分钟成交量和持仓量,实证分析股指期货合约在存续期两个阶段的价量特征及其动态关系,得到的结论是:股指期货的价格收益率与成交量、持仓量之间不存在Granger因果关系,而其绝对收益率与成交量、持仓量之间存在不同程度的Granger因果关系。价格波动率与成交量之间存在显著的正相关关系,价格波动率与持仓量之间存在显著的负相关关系。
作者 林祥友 甘雨婕
机构地区 成都理工大学商学院
出处 《经济与管理评论》 2014年第2期121-129,共9页 Review of Economy and Management
基金 中央高校基本科研业务费专项基金项目"股指期货市场发展和合约存续中价格发现能力的时变性研究"(项目编号:JBK120210) 成都理工大学科研基金资助项目"金融与投资优秀科研创新团队培育资助"项目(项目编号:KYTD201303)和成都理工大学科研基金资助项目"股指期货合约存续期不同阶段价格发现的时变性研究"(项目编号:2011YR10)的阶段性成果
关键词 股指期货 收益率 波动率 成交量 持仓量
分类号 F127 [经济管理—世界经济]
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参考文献20

  • 1Karpoff J M.. The Relationship between Price Changes and Trading Volume: A Survey [ J ]. Journal of Financial and Quantitative Analysis, 1987, (22) : 109 - 126.
  • 2Cornell B. The Relation between Volume and Price Variability in Futures Markets [ J ]. Journal of Futures Markets, 1981 ,(01) :302 -316.
  • 3Grammatikos T. , Sauders A. Futures Price Variability : A Test of Maturity and Volume Effeet[J]. Journal of Business, 1986, (59) :319 - 330.
  • 4Foster A J. Volume - Volatility Relation for Crude Oil Futures Markets[ J]. Journal of Futures Markets, 1995, (15): 929 - 951.
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二级参考文献66

  • 1沈杰.对上海期货交易所金属铝量价关系的实证分析[J].时代金融,2008,0(4):54-55. 被引量：2
  • 2[1]Kocagil,A.E.,and Shachmurove,Y.(1998):Return-Volume Dynamics in Futures Markets,The Journal of Futures Markets,Vol.18,399～426.
  • 3[2]McCarthy,J.,and Najand,M.(1993):State Space Modeling of Price and Volume Dependence:Evidence from Currency Futures,The Journal of Futures Markets,Vol.13,335～344.
  • 4[1]Cornell B. The relation between volume and price variability in futures markets[J]. Journal of Futures Markets, 1981,1:303-316.
  • 5[2]Grammatikos T, Saunders A. Futures price variability: a test of maturity and volume effects[J]. Journal of Business, 1986,59:319-330.
  • 6[3]Karpoff J M. The relationship between price changes and trading volume: a survey[J]. Journal of Financial and Quantitative Analysis, 1987,22:109-126.
  • 7[4]McCarthy J, Najand M. State space modeling of price and volume dependence: evidence from currency futures[J]. Journal of Futures Markets, 1993,13:335-344.
  • 8[5]Foster A J. Volume-volatility relation for crude oil futures markets[J]. Journal of Futures Markets, 1995,15:929-951.
  • 9[6]Bessembinder H, Seguin P J. Price volatility, trading volume, and market depth:evidence from futures market[J]. Journal of Financial and Quantitative Analysis, 1993,28:21-39.
  • 10[7]Shalen C. Volume, volatility, and dispersion of beliefs[J]. Review of Financial Studies, 1993,6:405-434.

共引文献214

同被引文献48

引证文献4

二级引证文献8

经济与管理评论
2014年 第2期

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