中国期货市场流动性协动现象实证研究

Empirical Research on Liquidity Commonality in Chinese Futures Market

以交易量、交易金额、持仓量、平均深度、有效交易量以及非流动性指标作为流动性度量指标,以近三年的日数据为基础,对中国期货市场流动性协动进行了实证研究。结果表明,中国期货市场存在显著的流动性协动现象,日内交易者易受市场流动性变化的影响,并且该现象具有显著的行业效应、地域效应以及组合效应。

Making use of Volume, Dollar Volume, Open Interest, Average Depth, Effective Volume and ILLIO as liquidity measurement index, we conduct empirical study of commonality in liquidity by using daily data during the recent three years from 3 Chinese Futures Exchanges. After documenting the pervasive role of commonality within entire Futures, we also find the distinct empirical evidence of industry effects, regional effects and portfolio effects, and find day traders who liable to influence of co-movements.