上海铜期货日流动性与日波动性关系的实证研究

    An Empirical Analysis of the Relation between Daily Liquidity and Volatility in the Shanghai Copper Futures Market

    • 摘要: 本文对上海期货交易所铜期货市场的日流动性和波动性进行了实证研究。在考察交易量与波动的关系时借鉴了混合分布假设理论(MDH),而在考察流动性比率与波动性的关系时则在前人基础上建立了新的模型。通过实证得出交易量与波动率有显著的正相关关系的结论。而在考察流动性比率与波动性关系时,却发现二者并没有显著的关系。

       

      Abstract: This paper analyzes the relation between daily liquidity and volatility in the Shanghai cooper futures market in an empirical way. When studying the relationship between trade volume and volatility, the Mixture Distribution Hypothesis theory is applied. When studying the relation between liquidity ratio and volatility, a new model is created. The conclusions are as follows: the trade volume and volatility is evidently positively correlative while the liquidity and volatility is not related at all.

       

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