| This article aims to research the relationship between trading volume and price of stock index futures in China. The research about the relationship between quantity and price both at home and abroad mainly focus on the stock market, for the domestic stock index futures market, the current literature on the quantity and price is few, so this paper that study the relationship between the quantity and price of csi300stock index futures market is a relatively new research, there is important practical significance.Because of the special national conditions of our country, capital market has experienced many twists and turns in more than20years. On The top of management layer want to establish the stock index futures market in China for a long time, but in the early state,the financial market in China is in chaos, the level of financial market is low, and establishment of stock index futures must be placed in the normative stock market, combined with some risk of stock index futures, so the introduction of stock index futures dragged repeatedly, on April16,2010, the csi300stock index futures will be officially founded and started work. The establishment of csi300stock index futures is one of the most exciting event in the history of Chinese capital market, because the introduction of stock index futures make up the blank of Chinese capital market, it is important for improving domestic institutions participation of clients, enhanced activity in the market, and end the unilateral market in China.Combined with the previous literature and the present situation, the author thinks there are several benefits that we need to continue studying the volumes and prices in-depth:(1) trading volume and price is not only the foundation of technical analysis, but also important external performance of modern capital market, especially the stock market, whether we invest in the index, the industry, the specific stock, we must take related prices and trading volumes in consideration;(2) based on the in-depth study of relation between trading volume and price, we can understand the flow of information transfer, explain the relationship between quantity and price with models of market microstructure and information economics;(3) method of event study is especially suitable for the stock market, research on the relation between trading volume and price are very helpful for the use of this kind of research methods, the application of this kind of research method has important significance;(4) one of the difficulties in financial pricing is how to pricing price caused by speculative behavior, in general, this kind of yield (price) distribution of speculative behavior is difficult to determine, but with the help of the study of relationship between quantity and price, we can determine the yield of speculation or empirical distribution function of the price by researching the characteristics between them, sometimes the determination the empirical distribution function based on the research between volume and price is of great significance;(5) one of the most important function about the futures market is price discovery, the price fluctuations traded in this market will be generally influenced by more factors than the stock market, and the research about the relationship between quantity and price provide investors certain reference. This paper take the research of the mutual influence between quantity and price about stock index futures as the focus of the study, turn the price into two aspects, on the one hand is the yield derived directly from the return of price, on the other hand, is the absolute value of yield transformed by price, in our empirical study, relationship between price and trading volume is a two-way granger causality, at the same time, we will use the quantile regression and GARCH family (conditional heteroscedasticity) to explain trading volume to the yield and its absolute value. In this paper, the text is divided into five parts.The first part is the introduction. This part mainly explain the necessity and significance of research on the quantity and price, point out that study on the relationship between quantity and price of stock index futures in China is of great significance; secondly, this paper introduce related literature review about volume and price.The second part use time series model empirically analyze trading volume and price volatility, in this part, we successively used the cointegration theory, stationarity test, Granger causal test, VAR model and impulse response analysis, and also carried on the descriptive statistical analysis, we obtained Granger causality relationship between the quantity and price. The third part carry on EG ARCH (1,1) to the ARCH effect.Firstly, we introduce the volatility model, namely introduce all kinds of the ARCH family models; Secondly, we also introduce the theory of MDH, eliminate the time trend of volume, using ARMA model to decompose volume into several other kinds of volume that will be used; Finally, based on the EGARCH model,we match volume and price to analyze the effect between the absolute values of yield and volume, at the same time, comparing the theoretical basis of MDH with all kinds of volume to judge the result of empirical analysis, and our empirical results show that the prediction is basically conform to the theory of MDH.The fourth part is the practical application of quantile regression on relationship between quantity and price in the stock index futures market, this part first introduces the idea and model of quantile regression, and then using the quantile regression to test trading volume and price of the market, and analyze the results, the result is that quantity and price went up together.The fifth part is the summary of this paper and shortcomings, summarize second, third, fourth part, finally pointed out the shortcomings in this paper. |
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