我国燃料油期货收益、交易量关系的实证研究被引量：5

An Empirical Study on the Relationship between Fuel Oil Futures Returns and Its Trading Volume

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摘要针对我国燃料油期货市场的价格收益、交易量的关系进行了实证研究,研究结果表明,收益与交易量之间不存在相关关系,绝对收益与交易量之间存在正相关关系;收益与成交量以及绝对收益与成交量之间不存在任何方向的G ranger因果关系;收益具有自相关、异方差的特点,收益波动的条件方差对条件收益没有直接影响;燃料油的期货收益波动方差与成交量之间没有直接关系,交易量对收益的波动方差也没有解释作用。 This paper explors the relationship between price returns and trading volume of our fuel oil futures market is studied. The results show that there exists no correlation between returns and trading volume, but there exists a positive correlation between absolute returns and trading volume. Granger causality demonstrates that there exists no causal relation between trading volume and returns or absolute returns. Returns are characterized by autocorrelation and heteroskedasticity in returns, and the conditional variance of volatility of returns has no direct impact on conditional returns. The trading volume of fuel oil futures has no direct impact on variance of volatility of returns, or to say, the trading volume can＇t explain variance of volatility of returns.

作者戴毓周德群

机构地区南京航空航天大学经济与管理学院

出处《系统工程》 CSCD 北大核心 2008年第7期35-39,共5页 Systems Engineering

基金国家自然科学基金资助项目(90510010) 教育部博士点基金资助项目(20050287026)

关键词燃料油期货收益交易量波动性 Fuel Oil Future Returns Trading Volume Volatility

分类号 F833 [经济管理—金融学]

作者简介戴毓（1979-），男，山东临沂人，南京航空航天大学经济与管理学院博士研究生，研究方向：金融工程，金融决策；周德群（1963-），男，江苏盐城人，南京航空航天大学经济与管理学院教授，博士生导师。

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参考文献17

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二级参考文献23

1Chen, G., Firth, M. and Rui, O. M. ( 2001 ) : The Dynamic Relation Between Stock Returns, Trading Volume, and Volatiity[ J]. The Financial Review, 38,153 ~ 174.
2Clark, P. K. ( 1973 ) : A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices[J]. Econometrica,41,135 ~ 155.
3Copeland, T. E. (1976) : A Model of Asset Trading under the Assumption of Sequential Information Arrival[ J]. Journal of Finance, Vol. 31,1149 ~ 1168.
4Crouch, R. L. (1970) : The Volume of Transactions and Price Changes on the New York Stock Exchange[J]. Financial Analysts Journal,Vol 26,104 ~ 109.
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9McCarthy, J., and Najand, M. ( 1993 ) : State Space Modeling of Price and Volume Dependence: Evidence from Currency Futures[ J]. The Journal of Futures Markets, Vol. 13, 335 ~ 344.
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