本文运用时间序列分析方法,对大连大豆期货市场的价格收益、成交量及其波动性之间的关系进行了实证分析。结果表明,期货价格收益波动的条件方差对期货价格收益有直接的负影响;大豆期货存在杠杆效应;大豆期货成交量对期货价格收益的波动方差有负的影响,成交量对收益波动具有解释作用。 In this paper, the time series analysis method is used to empirically analyze the relationship between price return, trading volume and volatility in Dalian soybean futures market. The results show that the conditional variance of the futures price volatility has a direct negative impact on the futures price return. The soybean futures have the leverage effect. The soybean futures volume has a negative impact on the volatility variance of the futures price return. The trading volume can explain the volatility of the returns .