统计研究 ›› 2003, Vol. 20 ›› Issue (7): 25-6.

• 论文 • 上一篇    下一篇

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

华仁海  仲伟俊    

  1. 南京经济学院;东南大学
  • 收稿日期:1900-01-01 修回日期:1900-01-01 出版日期:2003-07-15 发布日期:2003-07-15

  • Received:1900-01-01 Revised:1900-01-01 Online:2003-07-15 Published:2003-07-15

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.