Abstract
As the main force in the futures market, agricultural product futures occupy an important position in the China’s market. Taking the representative soybean futures in Dalian Commodity Futures Market of China as the research object, the relationship between price fluctuation characteristics and trading volume and open position was studied. The empirical results show that the price volatility of China’s soybean futures market has a “leverage effect.” The trading volume and open interest are divided into expected parts and unexpected parts, which are added to the conditional variance equation. The expected trading volume coefficient is estimated. Also, the estimated value of the expected open interest coefficient is, respectively, smaller than the estimated value of the unexpected trading volume coefficient and the estimated value of the unexpected open interest coefficient. Therefore, the impact of expected trading volume on the price fluctuation of China’s soybean futures market is less than that of unexpected trading volume on the price of soybean futures market. This paper adds transaction volume as an information flow to the variance of the conditional equation innovatively and also observes transaction volume as the relationship between conditional variance and price fluctuations.
Highlights
In bulk commodity trade, soybean is one of the agricultural products with large demand in China, and its price fluctuation is more prominent
Due to the further opening of the soybean market, the price fluctuation of domestic soybean futures is affected by many factors at home and abroad, which has aroused wide attention in China
The soybean futures of Dalian Commodity Exchange will be researched. e trading volume and position as information flow will be innovatively added to the variance of conditional equation. e relationship between trading volume as conditional variance and price fluctuation will be analyzed. e ARIMA-GJR-GARCH combination model will be constructed. e relationship between trading volume and price fluctuation will be studied, and the relationship between open positions and price fluctuation will be studied. e relationship between trading volume and open positions is mainly divided into expected trading volume and open positions and unexpected trading volume and open positions. e relationship between trading volume and price fluctuations can be analyzed
Summary
Soybean is one of the agricultural products with large demand in China, and its price fluctuation is more prominent. Foster [2] studied the international crude oil pickup market and found that trading volume has a significant positive impact on futures price volatility. Wang et al [4] used the ARCH (autoregressive conditional heteroscedasticity) model to analyze the price fluctuation of soybean futures daily trading price data from 2006 to 2011. E research shows that the yield of soybean futures has a second-order arch process, and its price fluctuation has volatility clustering, in which trading volume has a positive role in promoting price fluctuation. Hua and Zhong [6]; Zhou and Qi [7]; and Cai [8], respectively, used daily trading data of high-frequency data to analyze the characteristics of futures price fluctuations from different perspectives when studying different futures. Domestic and foreign scholars mostly use daily high-frequency data to analyze the relationship between trading volume and price fluctuation. The soybean futures of Dalian Commodity Exchange will be researched. e trading volume and position as information flow will be innovatively added to the variance of conditional equation. e relationship between trading volume as conditional variance and price fluctuation will be analyzed. e ARIMA-GJR-GARCH combination model will be constructed. e relationship between trading volume and price fluctuation will be studied, and the relationship between open positions and price fluctuation will be studied. e relationship between trading volume and open positions is mainly divided into expected trading volume and open positions and unexpected trading volume and open positions. e relationship between trading volume and price fluctuations can be analyzed
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