| 摘要: |
| 利用沪深300股指期货合约IF1112的1分钟高频交易数据，按照一定的规则将交易量分解为开仓交易量、平仓交易量和换手交易量，采用一定方法测度市场波动性，研究股指期货的不同类型的分解交易量对股指期货市场波动性影响的差异性，得到的结论是：分解交易量比未分解交易量包含更多解释市场波动性的增量信息，各类分解交易量对波动性均存在正向影响，影响程度由强到弱的顺序依次是开仓交易量、换手交易量、平仓交易量。 |
| 关键词: 交易量 开仓交易量 平仓交易量 换手交易量 波动性 |
| DOI： |
| 分类号: |
| 基金项目: |
|
| A Study on the Difference in the Impact of the Decomposition Trading Volume on the Market Volatility of Stock Index Futures |
|
DAI Hong xia1, LIN Xiang you2
|
| Abstract: |
| By taking one minute high frequent trading data of Stock Index Futures contract IF1112 of Shanghai and Shenzhen 300, according to certain regulation, trading volume is decomposed into open position trading volume, close position trading volume and change position trading volume to measure market volatility by certain methods, the difference in the impact of different types of decomposed trading volume on market volatility of stock index futures is studied, and the obtained conclusion is that the decomposed trading volume contains more incremental information to explain market volatility than that of un decomposed trading volume, that all of the decomposed trading volumes have positive effects on the volatility, whose influential order from strong to weak is open position trading volume, change position trading volume and close position trading volume. |
| Key words: trading volume open position trading volume close position trading volume change position trading volume volatility |
