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采用GARCH模型、方差分解以及脉冲响应函数等方法研究了我国燃料油期货市场的价格波动与成交量和持仓量之间的关系.通过研究得到以下结论:成交量对价格波动具有很强的解释作用,可以根据上一期成交量的变动,预测下一期的价格波动;当期持仓量对价格波动具有很强的吸收作用,持仓量增大时,期货价格波动将随之减小,但滞后期持仓量的变动对期货价格的波动性不具有解释作用,因此无法根据持仓量的历史数据预测未来的价格波动.同时考虑成交量和持仓量时,当期成交量表现出很强的解释作用,若当期成交量增大,则价格波动也将增大,反之则减小;当期持仓量在成交量和持仓量同时增加时对价格波动的影响小于在成交量增加、而持仓量没有增加时对价格波动的影响;而滞后期的成交量和持仓量对价格波动均没有显著影响.价格波动的残差扰动大部分由其自身造成;波动性对持仓量的影响比较明显;而成交量与持仓量之间存在显著的相互影响.脉冲响应曲线表明,燃料油期货市场符合混合分布假设,市场深度的价格效应是暂时的.
Using GARCH model, variance decomposition and impulse response function to study the relationship between price volatility and volume and open interest in China’s fuel oil futures market, the following conclusions are reached: the volume has a strong explanatory role on price fluctuations , According to the changes in the previous period, forecast the next period of price volatility; the current position of the price volatility has a strong absorption effect, open positions increased, the futures price volatility will be reduced, but the lag The fluctuation of the positions does not explain the volatility of the futures prices and therefore can not predict the future price fluctuations based on the historical data of the positions .It also shows a strong explanation for the current trading volume when considering both the trading volume and the open positions. If The current trading volume increases, the price volatility will increase, and vice versa decreases; the current position in the volume and open positions at the same time the impact of price fluctuations when the increase is less than the increase in volume, while the position does not increase the price Fluctuations in the lag phase of the transaction volume and open interest on the price volatility did not have a significant impact on the price volatility of the residual disturbance mostly by its own The volatility has more obvious impact on the open interest, but there is a significant interaction between the open interest and the open interest.The impulse response curve shows that the fuel oil futures market is in accordance with the mixed distribution hypothesis, and the market effect of price depth is temporary.