西部论坛
西部論罈
서부론단
West Forum
2013年
6期
62~68
,共null页
股指期货 价量关系 价格波动 GK波动率 成交量 持仓量 相对成交量 相对持仓量 预期成交量 预期持仓量
股指期貨 價量關繫 價格波動 GK波動率 成交量 持倉量 相對成交量 相對持倉量 預期成交量 預期持倉量
고지기화 개량관계 개격파동 GK파동솔 성교량 지창량 상대성교량 상대지창량 예기성교량 예기지창량
stock index futures; relation between price and volume; price volatility; GK volatility; tradingvolume; position volume; relatively trading volume; relative position volume; expected trading volume; expectedposition volume
利用沪深300股指期货合约的5分钟高频交易价量数据，分析股指期货合约的价量特征及其动态关系，结果表明：股指期货合约的价格波动率与成交量、相对成交量和相对持仓量之间均存在显著正向关系，而与持仓量之间存在显著负向关系；与预期成交量和未预期成交量都显著正相关，且未预期成交量的正向影响更大；与预期持仓量和未预期持仓量都显著负相关，且未预期持仓量的负向影响更大；成交量和持仓量的变化对股指期货价格波动的影响是不对称的，正的成交量和持仓量冲击比负的成交量和持仓量冲击的影响更大，即未预期成交量和未预期持仓量为正时对价格波动的影响会更大。股指期货市场的监管者和投资者可以通过观察成交量、持仓量、相对成交量、相对持仓量等显性指标及其变化，判断价格波动和市场风险等隐性指标的变化趋势，进而实施正确的监管政策和交易策略。
利用滬深300股指期貨閤約的5分鐘高頻交易價量數據，分析股指期貨閤約的價量特徵及其動態關繫，結果錶明：股指期貨閤約的價格波動率與成交量、相對成交量和相對持倉量之間均存在顯著正嚮關繫，而與持倉量之間存在顯著負嚮關繫；與預期成交量和未預期成交量都顯著正相關，且未預期成交量的正嚮影響更大；與預期持倉量和未預期持倉量都顯著負相關，且未預期持倉量的負嚮影響更大；成交量和持倉量的變化對股指期貨價格波動的影響是不對稱的，正的成交量和持倉量遲擊比負的成交量和持倉量遲擊的影響更大，即未預期成交量和未預期持倉量為正時對價格波動的影響會更大。股指期貨市場的鑑管者和投資者可以通過觀察成交量、持倉量、相對成交量、相對持倉量等顯性指標及其變化，判斷價格波動和市場風險等隱性指標的變化趨勢，進而實施正確的鑑管政策和交易策略。
이용호심300고지기화합약적5분종고빈교역개량수거，분석고지기화합약적개량특정급기동태관계，결과표명：고지기화합약적개격파동솔여성교량、상대성교량화상대지창량지간균존재현저정향관계，이여지창량지간존재현저부향관계；여예기성교량화미예기성교량도현저정상관，차미예기성교량적정향영향경대；여예기지창량화미예기지창량도현저부상관，차미예기지창량적부향영향경대；성교량화지창량적변화대고지기화개격파동적영향시불대칭적，정적성교량화지창량충격비부적성교량화지창량충격적영향경대，즉미예기성교량화미예기지창량위정시대개격파동적영향회경대。고지기화시장적감관자화투자자가이통과관찰성교량、지창량、상대성교량、상대지창량등현성지표급기변화，판단개격파동화시장풍험등은성지표적변화추세，진이실시정학적감관정책화교역책략。
The dynamic relationships between price and volume of CSI 300 stock index futures are empirically examined based on 5 minutes high frequency transaction price and volume data of CSI 300 stock index futures contracts, and the results show that there is obviously positive direction relationship between price volatility and trading volume and between relative trading direction relation with position volume, trading volume or unexpected trading volume and relative position volume, but there is significantly negative that there is obviously positive relationship between the volatility and expected volume, furthermore, the positive influence of unexpected trading volume is bigger, that there is significantly negative relationship between the volatility and expected position volume or unexpected position volume, furthermore, the negative influence of unexpected position volume is bigger, that the influence of the change of trading volume and position volume on the volatility of stock index futures price is asyrmnetric, and that the influence of the shock of positive trading volume and position volume is bigger than that of negative trading volume and position volume, i.e. the influence on price volatility is bigger when unexpected trading volume and unexpected position volume are positive. The supervisors and investors in stock index futures market can analyze the changing trends of the implicit indicators such as price volatility explicit indicators such as trading volume, position volume, relatively on as well as their changes in order to implement proper supervising trading and market risk and so on by monitoring volume, relative position volume and so policies and trading policies.
