中美农产品期货市场流动性比较研究

The Comparison of Liquidity of China and US Agricultural Futures Markets

在梳理已有的关于期货市场流动性研究的基础上,通过对中美农产品期货市场流动性格局、换手率及期货与现货市场规模等比较分析,本文发现我国农产品期货存在以下特点:(1)中期月份合约活跃、且活跃月份不连续;(2)换手率高、且波动性大;(3)期货成交量(或持仓量)与现货规模比基本上远远低于美国同一品种。本文提出针对性建议:(1)应着重引进和培育机构投资者(尤其买方机构投资者和产业客户),改进和完善投资者结构;(2)应创新交易工具和交易方式,引导投资者交易行为由短线交易向中长线交易转变,改进和完善持仓结构;(3)应在有效防范风险前提下,完善梯度风险控制等相关制度,促进活跃月份向近月转移,形成连续月份活跃。

Based on previous research on the liquidity, we analyzed the liquidity pattern of Sino-US agriculture futures market, turnover rate and market size of futures ＆ spot market, found these following characteristics： （1） The mid-term contracts are more active, and the active months are discontinuous; （2） High turnover rate and more volatile, 3） The rate of futures trading volume （or open interest） to spot scale volume is far below than the same product in the United States. Here are some recommendations： （1） Focusing on introducing and cultivating institutional investors （especially institutional buy-side investors and industrial customers）, in order to improve and refine the structure of investor; （2） Innovating trading tools and methods, guiding investors＇ trading behavior from short-term to long-term, improving and consummating positions＇ structure; （3） Under effective risk management, consummating gradient risk control related system, promoting active months transfers to recent months and forming consecutive active months.