经济问题
經濟問題
경제문제
On Economic Problems
2009年
2期
111~113
,共null页
期货市场 分位数回归模型 量价关系 波动性
期貨市場 分位數迴歸模型 量價關繫 波動性
기화시장 분위수회귀모형 량개관계 파동성
futures market; quantile regression model; return - volume relationship; volatility
采用分位数回归方法对上海期货市场铜、铝和燃料油期货收益及波动与成交量的动态关系进行实证研究。该方法允许估计不同分位的方程，从而得到条件分布的完整描述。结果显示上海期货市场期货价格收益具有异方差的特点；存在量价齐扬和量价背离现象；收益波动和成交量之间随着波动增大呈现逐渐加强的正向关系，从而说明我国期货市场信息传播符合混合分布假说。
採用分位數迴歸方法對上海期貨市場銅、鋁和燃料油期貨收益及波動與成交量的動態關繫進行實證研究。該方法允許估計不同分位的方程，從而得到條件分佈的完整描述。結果顯示上海期貨市場期貨價格收益具有異方差的特點；存在量價齊颺和量價揹離現象；收益波動和成交量之間隨著波動增大呈現逐漸加彊的正嚮關繫，從而說明我國期貨市場信息傳播符閤混閤分佈假說。
채용분위수회귀방법대상해기화시장동、려화연료유기화수익급파동여성교량적동태관계진행실증연구。해방법윤허고계불동분위적방정，종이득도조건분포적완정묘술。결과현시상해기화시장기화개격수익구유이방차적특점；존재량개제양화량개배리현상；수익파동화성교량지간수착파동증대정현축점가강적정향관계，종이설명아국기화시장신식전파부합혼합분포가설。
This study tries to overcome the limit of traditional econometric methods by employing quantile regression technique based on the data of Shanghai futures market. This new approach permits estimating various quantile functions, putting them together thus provides a more complete description of the underlying conditional distribution. The evidences show that return series exists significantly heteroscedasticity and a large increase in volume is accompanied by either a large rise or fall in price in futures market; there is positive asymmetric relation between volatility and trading volume, which confirms that the information transferring mechanism in Chinese futures market follow the mixture of distributions hypothesis.
