本文選題：價格 + 成交量��； 參考：《華東理工大學(xué)》2012年碩士論文

【摘要】：本文以滬深300股票指數(shù)期貨為研究對象,通過綜合運用VAR模型、格蘭杰因果檢驗、脈沖響應(yīng)函數(shù)以及方差分解等方法較為系統(tǒng)地探討了股指期貨價格、成交量與未平倉量之間的相互影響關(guān)系。結(jié)果表明股指期貨價格、成交量與未平倉量三個變量之間存在著復(fù)雜的相互作用關(guān)系,一個變量的任何變化在幾個滯后期后仍可能對另外兩個變量產(chǎn)生一定影響,導(dǎo)致其數(shù)值反復(fù)波動,因此使用成交量及未平倉量作為變量單獨預(yù)測價格的效果并不理想。 本文基于經(jīng)驗將成交量與未平倉量分成四種不同的組合,用VAR模型探討在不同組合的背景下三個金融變量之間的相互關(guān)系,尤其是價格受另外兩個變量的影響情況,研究結(jié)論顯示不同的成交量與未平倉量組合對股指期貨價格的影響有著較為明顯的區(qū)別。最后通過GARCH模型探討了股指期貨價格的波動與成交量和未平倉量的關(guān)系,得到了股指期貨價格的波動與當(dāng)期未平倉量顯著負相關(guān),與當(dāng)期成交量顯著正相關(guān)的結(jié)論。
[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.
【學(xué)位授予單位】：華東理工大學(xué)
【學(xué)位級別】：碩士
【學(xué)位授予年份】：2012
【分類號】：F832.51;F224

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