Research on The Price-Volume Relationship of CSI 300 Stock Index Futures

The yield and volatility of financial assets are dominant factors in risk management. In addition, the price-volume relationship of financial assets is also a hot research topic. This paper investigates the price volatility and the price-volume relationship in the stock market using financial high-frequency data. More specifically, we first divide the open interest and trading volume into the expected and unanticipated parts, and divide the price fluctuation into continuous and jumping parts. Then, we build a price-volume model to and analyze the stock index futures market on a deeper level. The results indicate that the predictable and unpredictable trading volume are consistent with the impact of price volatility, which is positive correlated with the price. On the opposite, the effect of predictable and unpredictable open interest on price volatility is different, and the expected predictable is positive correlated with the price while unanticipated parts are negatively correlated with the price.