上海期铜日内交易特征的实证研究

本文运用高频数据对我国上海期铜的收益率、交易量和交易笔数的日内变动模式进行研究，从而得出了上海期铜日内5分钟绝对收益率波动性的“L”型变化模式以及5分钟交易量和交易笔数的“U”型变化模式，在此基础上，本文建立回归模型，实证研究了影响上海期铜收益波动性的各种因素．结果表明上海期铜收益率与交易量、交易笔数以及价格水平之间确实存在着明显的正相关关系。

Study of intraday effects of copper in Shanghai future exchange

Based on the high frequency data, through the study of five-minutes absolute return data of copper in Shanghai future exchange, a L-shape effect of intraday return and U-shape effect of intraday volume and intraday frequency of transactions are concluded and an analysis of the relationship between the model and microstructure of future market in China is suggested. Then a regression model is established with its parameters calculated. The result exhibits that the distinct L-shape intraday and Monday mode of the volatility in copper future certainly exits, and there is a positive correlation among absolute return volatility, volume and frequency of transactions.