我国期货市场流动性的实证指标及分析结果

The Empirical Indexes and Analytical Conclusions on Futures Market Liquidity in China

本文首先界定了期货市场流动性的概念;并在此基础上,从宏观和微观两个层次选取了年度交易量、市场深度作为衡量期货市场流动性的指标;然后对我国主要品种大豆、小麦和铜的期货市场流动性进行了实证分析,得出一些具有启发性的结论。

This article first gives a definition of futures market liquidity. On that basis, from both macro and micro levels, the annual trade volume and market depth are chosen as two indexes to measure the futures market liquidity. It then makes an empirical study on the market liquidity of such main futures varieties as soybean, wheat and copper. Finally some enlightening conclusions are drawn.