统计研究 ›› 2003, Vol. 20 ›› Issue (7): 25-6.
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华仁海 仲伟俊
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关键词: 期货市场, 收益, 交易量, 波动性
Abstract: We examine the dynamic relation between returns, volume, and volatility of our futures markets. The results show that there exists a positive correlation between absolute returns and volume, but no correlation between returns and volume; Granger causality demonstrate that no causality relation exists between returns (or absolute returns) and volume, except copper’s absolute returns causes volume; the conditional volatility of returns has no direct impact to futures returns; copper’ and soybean’ trading volume contributes strong explanatory power to volatility, but aluminous’ trading volume has no direct impact to volatility.
华仁海 仲伟俊 . 我国期货市场期货价格收益、交易量、波动性关系的动态分析 [J]. 统计研究, 2003, 20(7): 25-6.
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https://tjyj.stats.gov.cn/CN/Y2003/V20/I7/25
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