中国期市收益率波动与交易量和持仓量关系的实证研究

用计量经济模型对我国的两个期货合约的收益率波动进行了多层次的实证研究．结果表明：交易量与收益率波动的关系是正相关，持仓量与收益率波动之间的关系是负相关；将交易量、持仓量分割为预期和未预期两部分，发现未预期部分对收益率波动有更大的影响，且未预期部分本身的正、负变动对收益率波动的作用程度是不对称的；大的持仓量能减缓收益率波动．

An Empirical Study on the Relations between Volume,Volatility and Open Interest in China's Futures Market

The relations between volume, volatility and open interest in China's futures market were empirically examined. The study shows that the relation between volume and price volatility is significantly positive; however, there is a significant negative relation between contemporaneous open interest and price volatility. When volume and open interest are partitioned into expected and unexpected components, the unexpected components have a large effect on volatility. The impact of positive unexpected components on volatility is asymmetric compared with that of negative shocks. Large open interest can mitigate volatility.