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

Zhijuan Chen, Hai Lin, Changfeng Ma
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引用次数: 1

摘要

与以往文献记录的交易量和波动率的盘中u型模式相反,我们在中国新生沪深300指数期货市场的午后时段记录了一个反向u型的交易量和波动率的盘中模式。我们用逐点数据分析了沪深300指数期货的主导合约。我们使用区间波动和已实现波动衡量标准,我们通过美元交易量、股票交易量和交易次数来衡量交易量。我们发现,无论采用哪一种措施,沪深300指数期货的成交量和波动率在午后均呈现倒u型走势。
本文章由计算机程序翻译,如有差异,请以英文原文为准。
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.
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