辽宁工程技术大学学报（社会科学版）Issue(3)：236-241,6.
中外股指期货市场流动性与波动性的比较
Comparison between liquidity and volatility in international stock index futures markets
摘要
Abstract
Based on Bessembinder and Seguin (1993) model, trading volume and open in-terest were selected as liquidity indicators to make an empirical examination of the impact of liquidity on the volatility in eight countries and regions’ stock index futures markets. Evidence suggests a significantly positive influence of unexpected trading volume on volatili-ty and a significantly negative influence of unexpected open interest on volatility. In addi-tion, in Chinese and Japanese stock index futures markets, trading volume’s and open in-terest’s expected components are in turn positively and negatively correlated with volatili-ty, with the positive impact of open interest larger. Model conclusion shows that hedging activities will reduce the risk and speculative trading activities will increase the risk in the stock index futures market. Simultaneously, price volatility is less influenced in Europe and U.S. stock index futures markets, but is influenced to some extent in China’s stock index futures market, by expected trading activity.关键词
股指期货/流动性/波动性/价量关系/国际比较Key words
stock index future/liquidity/volatility/price-volume relation/international com-parison分类
管理科学引用本文复制引用
佟孟华,周旭..中外股指期货市场流动性与波动性的比较[J].辽宁工程技术大学学报（社会科学版）,2013,(3):236-241,6.基金项目
辽宁省社会科学规划基金资助项目（L11DJY048）；辽宁省教育厅科学研究基金资助项目 （）
