| 期货交易活跃度、波动性与投资者结构关系的实证研究 |
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| 引用本文： | 李庆峰,肖成,邹功达.期货交易活跃度、波动性与投资者结构关系的实证研究[J].南方金融,2011(6). |
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| 作者姓名： | 李庆峰 肖成 邹功达 |
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| 作者单位： | 1. 华南师范大学经济与管理学院,广东,广州,510006
2. 广发期货有限公司,广东,广州,510620 |
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| 基金项目： | 中国期货业协会课题联合研究计划《中国期货市场投资者结构分析与完善研究》的阶段性成果; 广东省2010年普通高等学校人文社科重点研究基地重大项目《基于市场微观结构理论的证券市场信息非对称问题研究》(项目编号:09JDXM79008)的资助 |
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| 摘 要： | 本文将期货市场上的投资者分为个人与机构两类,基于白糖、优质强筋小麦和PTA三个期货品种的样本数据,探讨了交易结构和持仓结构对期货交易活跃度和期货价格波动性的影响规律。研究结果表明:期货交易活跃度主要受交易结构的影响,而期货价格波动大小主要受持仓结构的影响;根据最优的弹性二次模型结果,两者的弹性均呈现出边际递减的经济学变化规律。
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| 关 键 词： | 期货市场 交易活跃度 波动性 交易结构 持仓结构 |
Empirical Study on Trading Activity,Price Volatility and Investors Structure of Futures Market |
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| Li Qingfeng,Xiao Cheng,Zhou Gongda.Empirical Study on Trading Activity,Price Volatility and Investors Structure of Futures Market[J].South China Finance,2011(6). |
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| Authors: | Li Qingfeng Xiao Cheng Zhou Gongda |
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| Institution: | Li Qingfeng1,Xiao Cheng2 and Zhou Gongda2(1.School of Economic & Management,South China Normal University,Guangzhou,510006 China,2.GuangFa Futures CO.LTD.,510620 China) |
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| Abstract: | Based on the classification of retail and institutional investors and the sample data of Sugar Future,Wheat Future and PTA Future,this paper discusses how trading volume structure as well as position structure affects trading activity and price volatility.This paper proves that trading activity is mainly affected by the structure of trading volume and price volatility mainly by the position structure.We also find out that both elasticity changes with the law of diminishing marginal utility based on the elas... |
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| Keywords: | Futures Market Trading Activity Volatility Trading Volume Structure Position Structure |
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