基于高频数据的中国有色金属期货市场量价关系研究

doi:10.16381/j.cnki.issn1003-207x.2018.06.002

Abstract

Abstract: Research on the relationship between volume and price allows market regulators and policymakers to more accurately assess the trading activity in the market and provide guidance for effective market regulation, trend analysis and decision-making. Therefore, research on the relationship between volume (volume and open interest) and price volatility has important theoretical and practical significance. Following Bessembinder and Seguin (1993), volume and open interest are divided into expected and unexpected components. The basic price-volume relation model, price-volume relation model based on the decomposition of the trading volume and open interest, and the asymmetric model on the price-volume relation to account for the positive and negative realized semi-variance and the different shock of trading volume and open interest to futures market are constructed, and the empirical research is made using high frequency data of Shanghai Futures Exchange copper and aluminum futures. The results show that there is positive correlation between the volatility and trading volume and between relative trading volume, but there is significantly negative correlation between volatility and open interest and between relative open interest in Chinese non-ferrous metals futures market. The expected and unexpected trading volume have positive influence on price volatility. Furthermore, the unexpected trading volume has a bigger influence on price volatility. The expected and unexpected open interest, on the contrary, have negative influence on price volatility. Furthermore, the unexpected open interest has a bigger influence on price volatility. That is to say, the price volatility of non-ferrous metals futures market is mainly induced by unexpected trading volume and unexpected open interest, which represent the new information. The trading volume and open interest have stronger explanatory power in upside realized semi-variance than downward realized semi-variance. The influence of positive trading volume shock on price volatility is bigger than that of negative trading volume shock, which is the same with open interest. The research findings have important reference value for judging and forecasting the financial market trend and risk avoidance.

Key words: price-volume relation, high frequency data, non-ferrous metals futures, trading volume, open interest

CLC Number:

F830
F224

ZHU Xue-hong, ZHANG Hong-wei, ZHONG Mei-rui, LIU Hai-bo. The Price-Volume Relation of Chinese Non-ferrous Metals Futures Market: Evidence from High Frequency Data[J]. Chinese Journal of Management Science, 2018, 26(6): 8-16.

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The Price-Volume Relation of Chinese Non-ferrous Metals Futures Market: Evidence from High Frequency Data

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