中文摘要：

基于波动率和流动性指标对沪深300股指期货合约交易活跃程度的影响因素进行了分析，其中波动率包括现货和期货市场整体波动率指标，以及其中的连续性波动和跳跃波动成分，流动性指标采用Amihud非流动性指标，期货合约活跃程度采用交易额，未平仓合约数和交易量／未平仓合约数比率三个指标衡量。研究发现，现货市场波动率的增加反映了套期保值需求，期货市场波动率增加反映了投资者异质信念，均与三个交易活跃性指标存在正向关系，并且波动率的这种影响主要是通过连续性波动而非跳跃波动引起的；流动性的提高会促进交易额和未平仓合约数增加。

英文摘要：

This paper investigates the impact of volatility and liquidity on the trading activity of CSI 300 stock index futures contracts. The volatility measure includes overall volatility, and its continuous and jump component of spot and futures market. Amihud illiquidity ratio is taken as liq- uidity measure. The measure of trading activity includes trading value, open interest and volume/ open interest ratio. We find that spot volatility increases hedging demand and futures market vola- tility is an indicator of differences of opinions of investors, among of which are positively correlated with trading activity measures, and continuous volatility instead of jump part is playing a pivotal role here. The improvement of liquidity tends to increase the trading value as well as open interest.