沪深300股指期货价量仓关系初探

发布时间：2018-04-14 08:55

本文选题：价格 + 成交量　；参考：《华东理工大学》2012年硕士论文

【摘要】：本文以沪深300股票指数期货为研究对象,通过综合运用VAR模型、格兰杰因果检验、脉冲响应函数以及方差分解等方法较为系统地探讨了股指期货价格、成交量与未平仓量之间的相互影响关系。结果表明股指期货价格、成交量与未平仓量三个变量之间存在着复杂的相互作用关系,一个变量的任何变化在几个滞后期后仍可能对另外两个变量产生一定影响,导致其数值反复波动,因此使用成交量及未平仓量作为变量单独预测价格的效果并不理想。本文基于经验将成交量与未平仓量分成四种不同的组合,用VAR模型探讨在不同组合的背景下三个金融变量之间的相互关系,尤其是价格受另外两个变量的影响情况,研究结论显示不同的成交量与未平仓量组合对股指期货价格的影响有着较为明显的区别。最后通过GARCH模型探讨了股指期货价格的波动与成交量和未平仓量的关系,得到了股指期货价格的波动与当期未平仓量显著负相关,与当期成交量显著正相关的结论。
[Abstract]:This paper takes CSI 300 stock index futures as the research object, discusses the stock index futures price systematically by using VAR model, Granger causality test, impulse response function and variance decomposition, etc.The interaction between trading volume and open position volume.The results show that there are complex interaction relations among the three variables of stock index futures price, trading volume and unclosed position, and any change of one variable may have a certain effect on the other two variables after several lag periods.As a result, the value fluctuates repeatedly, so the effect of using volume and unclosed position as variables to predict price separately is not ideal.Based on the experience, this paper divides the transaction volume and the open position volume into four different combinations, and uses the VAR model to study the relationship between the three financial variables under the different combination background, especially the influence of the other two variables on the price.The results show that the influence of different combinations of trading volume and unclosed position on the price of stock index futures is quite different.Finally, the relationship between the volatility of stock index futures and the volume of trading and the amount of open positions is discussed through GARCH model. The conclusion is that the volatility of stock index futures is negatively correlated with the amount of open positions in the current period, and it is positively correlated with the volume of trading in the current period.
【学位授予单位】：华东理工大学
【学位级别】：硕士
【学位授予年份】：2012
【分类号】：F832.51;F224

【参考文献】