China's Commodity Futures Trading Volume And Price Volatility Of The Relationship Between Empirical Research

The relation between price and volume has wide application in capital market, and the relation between the volatility of financial products and volume is always a hot topic of research. China's stock index futures will issue in a short time and it will strongly impact China's capital market. So many scholars home and abroad made deep study about stock index futures, from its influence on spot market to its internal structure, operation character, risk control and regulation.However, China's futures market is an emerging market and index products is not issued, domestic academe do not have fully study about the relation between price and volume of financial futures products by now. The relation is not clear and the research of this problem is very important to understand China's futures market.In order to have a general relation between volatility and volume of commodity futures products in domestic market, this paper makes an empirical study of the relation of some representative products, say cooper, aluminum, zinc, fuel oil, rubber, bean, corn, strong wheat and cotton. Furthermore, as gold futures has financial character, use empirical research of the relation between volatility and volume of gold futures to study the applicability of the general relation of commodity futures, and to forecast the relation between volatility and volume of stock index futures.Through the empirical study of the 9 commodity futures and gold futures, we find that there lies obvious positive relation between volume and volatility, and this relation is more remarkable when trade is very active; the impact of unexpected volume to price volatility is much higher than expected volume; the symmetry hypothesis of volume and price change is not clear in commodity market. Furthermore, the positive relation is also applicable to stock index futures.