{"title":"成交量与波动的逆u型盘中形态:来自沪深300指数期货市场的证据","authors":"Zhijuan Chen, Hai Lin, Changfeng Ma","doi":"10.2139/ssrn.2386457","DOIUrl":null,"url":null,"abstract":"In contrast to the U-shaped intraday pattern of volume and volatility documented by previous literature, we document a reverse U-shaped intraday pattern of volume and volatility during the afternoon session in Chinese newborn CSI 300 index futures market. We analyze the dominant contracts of CSI 300 index futures with tick-by-tick data. We use ranged and realized measure of volatility, and we measure volume by dollar volume, share volume and number of trades. We find that no matter which measure is adopted, both trading volume and volatility of CSI 300 index future show a reverse U-shaped in the afternoon session.","PeriodicalId":177064,"journal":{"name":"ERN: Other Econometric Modeling: Derivatives (Topic)","volume":"5 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2014-01-28","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"1","resultStr":"{\"title\":\"On the Reverse U-Shaped Intraday Pattern of Volume and Volatility: Evidence from CSI 300 Index Futures Market\",\"authors\":\"Zhijuan Chen, Hai Lin, Changfeng Ma\",\"doi\":\"10.2139/ssrn.2386457\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"In contrast to the U-shaped intraday pattern of volume and volatility documented by previous literature, we document a reverse U-shaped intraday pattern of volume and volatility during the afternoon session in Chinese newborn CSI 300 index futures market. We analyze the dominant contracts of CSI 300 index futures with tick-by-tick data. We use ranged and realized measure of volatility, and we measure volume by dollar volume, share volume and number of trades. We find that no matter which measure is adopted, both trading volume and volatility of CSI 300 index future show a reverse U-shaped in the afternoon session.\",\"PeriodicalId\":177064,\"journal\":{\"name\":\"ERN: Other Econometric Modeling: Derivatives (Topic)\",\"volume\":\"5 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2014-01-28\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"1\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"ERN: Other Econometric Modeling: Derivatives (Topic)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.2386457\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"ERN: Other Econometric Modeling: Derivatives (Topic)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.2386457","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
On the Reverse U-Shaped Intraday Pattern of Volume and Volatility: Evidence from CSI 300 Index Futures Market
In contrast to the U-shaped intraday pattern of volume and volatility documented by previous literature, we document a reverse U-shaped intraday pattern of volume and volatility during the afternoon session in Chinese newborn CSI 300 index futures market. We analyze the dominant contracts of CSI 300 index futures with tick-by-tick data. We use ranged and realized measure of volatility, and we measure volume by dollar volume, share volume and number of trades. We find that no matter which measure is adopted, both trading volume and volatility of CSI 300 index future show a reverse U-shaped in the afternoon session.