Empirical Analysis On The Price-volume Relationship In Chinese Futures Markets

This paper reviews the study of the relevant between the volatility of price and trading volume in the stock market, and introduces theoretical foundation about relevant between the volatility of price and trading volume. Then, on the basis of the research and theory in the past, The paper studies the relationship between price volatility and trading volume in China's futures market. This paper has been selected China's three futures trading nine varieties. Mainly make use of a simple regression, ARMA, Granger Causality Test and GARCH model, Tested China's futures market price volatility and trading volume of the three relationships: price volatility and trading volume of the dynamic relationship; the conditions of price volatility and trading volume variance relationsTest results found: Static relations, most transactions varieties, rate of return and the trading volume itself linear relationship does not exist; yield absolute value and trading volume's relationships do not exist in the transaction prices more than prices of the trading volume phenomenon. On dynamic relationships, linear causality test, in addition to fuel oil, copper and rubber, the remaining yield itself and the trading volume are varying degrees of causal relationship. Yield itself and the transaction volume of nonlinear causality test, in addition to soybean meal and rubber, and other yield and the trading volume there is a different degree of nonlinear causal relationship. In the analysis on the relationship between conditional variance of rate of return and volume, discover that volumes have positive influence on conditional variance. Finally, based on the analysis, the paper provide some advice to investors.