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本文通过构建条件均值方程和条件标准波动方程对大连商品交易所(DCE)玉米期货价格收益率与成交量、持仓量之间的信息传导关系进行了实证分析。研究发现:DCE玉米期货成交量和持仓量与价格收益率之间分别存在正向和负向关系,并且持仓量的变化对期货价格收益率波动更为敏感;将成交量和持仓量分为可预期部分和不可预期部分后,可预期成交量和不可预期成交量对期货价格收益率的影响是非对称的,不可预期成交量的变动对期货价格收益率的信息传导作用明显高于可预期部分。可预期持仓量对期货价格收益率波动存在负向关系,而不可预期持仓量对价格收益率不敏感;分解后的成交量和持仓量能更好地刻画其对期货价格收益率的信息传导作用。
This paper empirically analyzes the information transmission between the price of corn futures and the trading volume and open interest of Dalian Commodity Exchange (DCE) through the construction of conditional mean equation and standard deviation equation. The results show that there is a positive and negative relationship between the trading volume, open interest and yield of DCE corn futures, respectively, and the changes of positions are more sensitive to the volatility of the futures price return. The trading volume and open interest can be divided into Expected part and unpredictable part, the expected volume and unpredictable volume of the impact on the futures price of the return is asymmetric, unpredictable changes in trading volume on the exchange rate of return on futures information was significantly higher than the expected portion. It is expected that there will be a negative relationship between the open interest and the volatility of the futures price return, while the unpredictable positions are not sensitive to the price return. The decomposed volume and position can better characterize the information transmission of futures price return .