重庆工商大学学报：社会科学版
重慶工商大學學報：社會科學版
중경공상대학학보：사회과학판
Journal of Chongqing Technology and Business University Social Science Edition
2014年
3期
53~60
,共null页
交易量 开仓交易量 平仓交易量 换手交易量 波动性
交易量 開倉交易量 平倉交易量 換手交易量 波動性
교역량 개창교역량 평창교역량 환수교역량 파동성
trading volume; open position trading volume; close position trading volume; change position trading volume; vol-atility
利用沪深300 股指期货合约IF1112 的1 分钟高频交易数据,按照-定的规则将交易量分解为开仓交易量、平仓交易量和换手交易量,采用-定方法测度市场波动性,研究股指期货的不同类型的分解交易量对股指期货市场波动性影响的差异性,得到的结论是：分解交易量比未分解交易量包含更多解释市场波动性的增量信息,各类分解交易量对波动性均存在正向影响,影响程度由强到弱的顺序依次是开仓交易量、换手交易量、平仓交易量.
利用滬深300 股指期貨閤約IF1112 的1 分鐘高頻交易數據,按照-定的規則將交易量分解為開倉交易量、平倉交易量和換手交易量,採用-定方法測度市場波動性,研究股指期貨的不同類型的分解交易量對股指期貨市場波動性影響的差異性,得到的結論是：分解交易量比未分解交易量包含更多解釋市場波動性的增量信息,各類分解交易量對波動性均存在正嚮影響,影響程度由彊到弱的順序依次是開倉交易量、換手交易量、平倉交易量.
이용호심300 고지기화합약IF1112 적1 분종고빈교역수거,안조-정적규칙장교역량분해위개창교역량、평창교역량화환수교역량,채용-정방법측도시장파동성,연구고지기화적불동류형적분해교역량대고지기화시장파동성영향적차이성,득도적결론시：분해교역량비미분해교역량포함경다해석시장파동성적증량신식,각류분해교역량대파동성균존재정향영향,영향정도유강도약적순서의차시개창교역량、환수교역량、평창교역량.
By taking one minute high frequent trading data of Stock Index Futures contract IF1112 of Shanghai and Shenzhen300, according to certain regulation, trading volume is decomposed into open position trading volume, close position trading vol-ume and change position trading volume to measure market volatility by certain methods, the difference in the impact of differenttypes of decomposed trading volume on market volatility of stock index futures is studied, and the obtained conclusion is that thedecomposed trading volume contains more incremental information to explain market volatility than that of un-decomposed tradingvolume, that all of the decomposed trading volumes have positive effects on the volatility, whose influential order from strong toweak is open position trading volume, change position trading volume and close position trading volume.
