期货市场的交易量与价格波动

本文检验了美国期货市场WTI原油、S＆P500指数和10年期国债品种的日内、日间价格波动与日内交易量、隔日交易量之间的关系，发现预期的日内和隔日交易量都有平抑期货市场价格波动的作用，非预期的隔日交易量与期货价格波动之间有正相关关系，非预期的目内交易量对价格波动的影响不显著。从信息对称性的角度分析，预期的交易量中含有更多信息，能抑制期货价格的偏离；非预期的交易量主要由信息反馈者提供，他们往往对期货价格的变动做出过度反应，从而加剧价格波动。

Trading Volume and Price Volatility in Futures Markets

This paper examined the relationship between futures price volatility and trading volume in the futures markets of WTI, S＆PS00 index and the 10-year Treasury respectively, though dividing the trading volume into inter-day volume and out-day volume. We found there is a negative correlation between the expected volume and futures price volatility, and a positive correlation between the unexpected out-day trading volume and price volatility, but no significant correlation between unexpected inter-day trading volume and price volatility. Consistent with models of asymmetrically informed traders, our results suggested that, the expected trading volume which contains more information, can inhibit the price deviations; unexpected trading volume mainly provided by the feedback traders who tend to overreact to the futures price changes, can exacerbate price volatility.