A Tentative Exploration Of The Price-Volume-Postion Relationship Of SHSZ 300 Stock Index Futures

In this paper, we take Shanghai and Shenzhen 300 Stock Index Futures as the research object, explored the relationship among the stock index futures price, trading volume and open interest systematically through the integrated use of VAR model, Granger causality test, impulse response functions and variance decomposition and other methods. The results showed that there have complex interactions among the stock index futures price, trading volume and open interest. Any change of one variable would still have an impact to other variables after several lags, which could result in recurrent fluctuations of its numerical value. Therefore, the effect which we use volume and open interest as the variables to predict the price is not good.We divided the volume and open interest into four different combinations based on trading experience. And we discussed the relationship, especially the price affected by volume and open interest, of different combinations, with a VAR model. Thus, we got results which show that different combinations of volume and open interest have different impact on price. In the end, we analyzed the relationship of stock index futures price volatility, trading volume and open interest through the GARCH model, and we draw a conclusion that the volatility of stock index futures price and the current open interest was significantly negatively correlated while the volatility of stock index futures price and the current volume was positively correlated.