空盘量变动对我国期货市场期货价格收益波动性的影响

空盘量是除交易之外刻画期货市场交易活跃程度的另一个重要指标。将空盘量分解为可预期和不可预期两部分,研究空盘量的变动对期货价格收益波动性的影响。实证结果表明,空盘量对期货价格收益的波动性具有负向影响,即总体而言,空盘量的增加对期货价格收益波动性的影响小于空盘量的减少对期货价格收益波动性的影响;并且,不可预期空盘量对期货价格收益的影响比可预期空盘量对价格收益的影响大许多。同时,从信息经济学的角度对实证结果分别进行了解释。

Analyses of Volatility between Open Interest and Returns in China's Futures Market

The open interest, which is differ from returns and can describe changes of volatility, is an important index in futures market. The relationships of volatility between open interest and returns in China futures market are empirically investigated by partitioning open interest into expected and unexpected components. The empirical results show that open interest has negative impact on volatility of returns. Generally, the volatility is less with the open interest increasing than that with the open interest decreasing. And the change in unexpected open interest has a much greater effect on volatility than expected open interest. In addition, empirical results are been explained respectively by using informational economics. The results obtained give meaningful insights into the microstructure of China futures market and are helpful to mechanism of price.