Research On The Regulation Of Chinese Credit Rating Agencies Under The Perspective Of Sub-Prime

As Chinese futures market is an important part of financial market, it plays a significant role in our national economic development. As our futures market is burgeoning, volatility is a key economic risk factor that affects smooth run of macro economy and financial stability. Thus it is indispensable to research the characteristics and the factor of the volatility. There is tremendous information that is conveyed by the volatility of the futures markets. So studying the volatility helps us to understand the intrinsic mechanism of the form of the price and the way of transmitting information. It also helps to regulate and supervise the futures market. The studying of the relation of volume, open interest and volatility is to analyze the degree of information influencing the volatility deeply.The paper selected six major futures contracts, including soybean, corn, cotton, wheat, copper and natural rubber from DCE, ZCE and SHFE. It adopt of classical econometric model to research the relation of volume, open interest and volatility through academic and empirical methods. It quotes MDH and the theory of the liquidity of market to explain the relation. The conclusions are as follows:This paper not only documents a strong positive relation between contemporaneous volume and volatility, but also finds that the impact of an unanticipated volume shock are greater than the anticipated volume. It proves that volume is proxy of information. This paper not only shows a strong negative relation between contemporaneous open interest and volatility, but also finds that the impact of an unanticipated open interest are greater than the anticipated open interest. It is argued that depth varies with recent trading activity, which is proxied by endogenously determined open interest.