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本文借助VAR和扩展的GARCH模型,分别研究3个月的欧洲美元定期存款期货、3个月期英镑(英镑空头)利率期货日价格波动等两个序列和其对应的交易量之间的计量关系,对其动态关系进行了实证分析。结果表明:对于前者而言,日价格波动率与成交量之间不存在明显的因果或者解释关系;对于后者而言,当期成交量会反向影响当期的价格波动,而前两期成交量则会正向影响当期的价格波动,这是与3个月的欧洲美元定期存款期货计量结果所不同的地方,不过日价格波动却并没有反过来影响当日以及未来几日的成交量。这对从金融市场微观结构角度来正确认识我国资本市场以及进一步规范市场行为有一定的参考意义。
In this paper, VAR and extended GARCH models are used to study the measurement relationship between the two series of three-month European dollar time deposit futures and the three-month pound sterling short-term interest rate futures, respectively, and their corresponding transaction volumes , The dynamic relationship between the empirical analysis. The results show that for the former, there is no obvious causal or explanatory relationship between the daily price volatility and the trading volume. For the latter, the current trading volume will reversely affect the current price volatility, while the previous two trading volume This would positively affect the current price volatility, which is different from the three-month Euro-US fixed-term futures measurement, but the daily price fluctuations did not in turn affect the volume of the day and the coming few days. This is a certain reference value for correctly understanding China’s capital market and further regulating market behavior from the perspective of the microstructure of financial markets.