期货市场量价关系：基于分位数回归模型的实证研究

本文采用分位数回归来分析上海期货市场以及伦敦期货市场收益率和成交量之间的关系。实证结果发现两地期市的量价关系不同：伦敦期货市场的量价关系并不明显；上海期铜呈现“量价齐扬”以及“价跌量亦涨”的现象；上海期铝只呈现“量价齐扬”的现象，价跌时量价关系不明显；上海金属期货市场的收益率与成交量呈现非对称的“V”字型关系。进一步的分析表明，两市场量价关系的差异是由投资者结构不同导致的。

Relationship Between Returns and Volume in Future Markets An Empirical Test with Quantile Regression

This paper tests the relationship between returns and volume in SHFE and LME markets with quantile regression. The result shows that relationships between yield and volume are different. In Shanghai market, positive yields usually come with large volumes and also for negative yields. On contrary, relationships between yield and volume in LME market are not so significant. Traditional OLS method can not get such results. The "V" shaped relationship between yield and volume in SHFE markets may be caused by th...