中国期货市场流动性周内效应及其影响因素实证研究

Empirical Research on Liquidity Weekday Effect and its Influencing Factors 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周内效应及其影响因素进行了实证研究。结果表明,中国期货市场存在显著的周内效应,而且当控制交易量、持仓量、平均价格和价格波动性等对流动性有显著解释能力的变量时,这种效应仍然存在。

Making use of volume, dollar volume, open interest, depth, effective volume and ILLIQ as liquidity measurement index, we conduct empirical study of inter - day liquidity patterns and its influencing factors using daily data during the recent three years. After documenting the conspicuous role of weekday effect within entire futures, and finding that the liquidity weekday patterns still exist when the variables which often influence the liquidity are under control, such as trading volume, open interest, average price, price volatility.