本研究選定中國大連商品交易所之豆油期貨近月契約作為研究對象，並探討商品價格與成交量間的關係，於模型亦納入股票市場因子進行模型檢測。另一方面，我們進一步調查當期貨成交量呈現持續增加（滅少）時，對於報酬與報酬波動的影響是否存在顯著的差異。實證結果證實豆油期貨報酬存在波動性叢聚的現象，即存在顯著因時而異的特性，另外，雖然期貨市場穩健運作有助於發揮期貨價格發現的功能，但考量期貨成交量對報酬的影響後，結果卻發現兩者具有負向的關聯，對此現象，本研究推論可歸因於市場資訊傳遞不完全的問題，因此，本研究建議面對現今漲跌制度，應可考慮放寬漲跌空間，方可提昇市場資訊傳遞速。

This paper aims to investigates the relationship between commodity price and trading volume in China's soybean oil futures market and to consider the influence of stock market factor. In addition, we also examine whether the returns and return volatilities of futures market have significant changes when futures trading volume increases/decreases. Overall results show that the volatility clustering effects of returns exist in soybean oil Futures market, namely the time-varying characteristics of returns. In general, although the trades of futures market can facilitate the price discovery function, there is negative relationship between trading volume and returns. One possible explanation is that the trading information transmission is incomplete. Therefore, this paper also suggest that the loosing price limitation may improve the degree of market efficiency.