Price Volatility, Trading Volume, and Market Depth:Evidence from Chinese Stock Index Futures Markets

摘要：

　　Dynamic relationship between price volatility, trading volume and open interest was studied in this paper by using threshold model and variable decomposition.It is found that the information flow on the Chinese index futures market fulfills the mixed-distribution hypothesis.The increasing of volume adds to price volatility and that of open interest is vice versa.As opposite to developed markets, unexpected volume or open interest has less interpretation power for price volatility than expected volume or open interest.The threshold effect of volume on price volatility is double, effect coefficient declines as volume increases from one threshold interval to another.

关键词： price volatility market depth threshold effects

作者: Liu Lan Ma Chaoqun Chen Jing

作者单位: College of Economics and Management, Hunan Normal University, Changsha, P.R.China, 410006 ;School of School of Business Administration, Hunan University, Changsha, P.R.China, 410082 College of Natural Sciences and Mathematics, the University of West Alabama, Livingston, U.S.A

会议类型: 国际会议

会议名称: 2013 International Conference on Strategic Management(2013年战略管理国际会议)

会议地点: 成都

会议语种:英文

页码: 541-547

在线出版日期: 2013-12-15（万方平台首次上网日期，不代表论文的发表时间）