CAJ | 학술논문

借鉴Bessembinder和Seguin的模型,选择成交量和持仓量作为流动性指标,对8个国家与地区股指期货市场流动性对其市场波动的影响进行了实证研究.实证结果表明:8个国家与地区股指期货市场非预期成交量和非预期持仓量分别对市场波动均具有显著的正向和负向影响.另外,在中国与日本股指期货市场中,成交量、持仓量预期成分分别与市场波动呈正相关和负相关关系,且持仓量因素对市场波动的影响更大.模型结论说明股指期货市场套期保值交易活动会降低市场中的风险,而投机性交易活动则会在一定程度上增大市场中的风险,同时欧美等成熟的股指期货市场波动受市场预期交易的影响较小,而中国股指期货市场价格波动则会受到一定程度的市场预期的影响.
차감Bessembinder화Seguin적모형,선택성교량화지창량작위류동성지표,대8개국가여지구고지기화시장류동성대기시장파동적영향진행료실증연구.실증결과표명:8개국가여지구고지기화시장비예기성교량화비예기지창량분별대시장파동균구유현저적정향화부향영향.령외,재중국여일본고지기화시장중,성교량、지창량예기성분분별여시장파동정정상관화부상관관계,차지창량인소대시장파동적영향경대.모형결논설명고지기화시장투기보치교역활동회강저시장중적풍험,이투궤성교역활동칙회재일정정도상증대시장중적풍험,동시구미등성숙적고지기화시장파동수시장예기교역적영향교소,이중국고지기화시장개격파동칙회수도일정정도적시장예기적영향.
@@@@Based on Bessembinder and Seguin (1993) model, trading volume and open in-terest were selected as liquidity indicators to make an empirical examination of the impact of liquidity on the volatility in eight countries and regions’ stock index futures markets. Evidence suggests a significantly positive influence of unexpected trading volume on volatili-ty and a significantly negative influence of unexpected open interest on volatility. In addi-tion, in Chinese and Japanese stock index futures markets, trading volume’s and open in-terest’s expected components are in turn positively and negatively correlated with volatili-ty, with the positive impact of open interest larger. Model conclusion shows that hedging activities will reduce the risk and speculative trading activities will increase the risk in the stock index futures market. Simultaneously, price volatility is less influenced in Europe and U.S. stock index futures markets, but is influenced to some extent in China’s stock index futures market, by expected trading activity.