Research Of The Relation Between Price Volatility And Volume Of Stock Index Futures Under The Condition Of High-Frequency Data

Since April 16,2010, China started the HS300 stock index futures, and it soon had a very big volume. Now it’s the most import financial derivative in China. In any financial market, there are two kinds of investor:speculation and investment. Investment provides market for speculation and speculation provides liquidity for investment. To make the HS300 stock index futures play the biggest efficiency, we need to study its price formation.In this paper, all researches are based on high-frequency data. First, we defined the volatility of price and several quantitative factors, such as volume, open-interest, volume differential, open-interest volatility, and analyzed each one’s characteristic. Then, using the Ganger causality test and linear regression model, we find the relationship between price and quantitative factors.The results shows in the Chinese HS300 stock index futures market, there are two-way Granger causality between the price volatility and the volume differential, and between the price volatility and the open-interest volatility. There was a significant positive correlation between the price volatility and volume differential, open-interest volatility. Therefore, the quantitative factors changes can be applied to predict the volatility of price rule.