期货市场的流动性测度探讨

Review of the accounting for financial asset transfer by sponsor issued by FASB

本文根据期货市场存在大量对冲交易的实际情况,讨论现有测度期货市场流动性方法的不足。采用合约发行量替代了传统模型中的持仓量,并提出使用价格波动率平整后的流动性比率作为计算期货市场流动性效率的指标,与传统衡量期货市场流动性的方法相比,这种修正不仅在逻辑上更为严谨和贴合实际,而且得到实证检验的支持。

Based on the practice of huge offsetting transactions？in futures markets, this paper discusses the drawback of current liquidity measurement. We substitute daily contracts circulation for open interest in traditional model, and use the liquidity ratio adjusted by the fluctuation ratio as the measurement indicator of liquidity efficiency in future market. Compared with traditional method, our model is not only more coincident with theory and practice, but also supported by the result of econometric test.