期货市场流动性、波动性相互影响的实证研究

Interaction between Volatility and Liquidity in the Futures Market

运用VAR模型和脉冲响应函数分析我国股指期货市场波动率和流动性指标相互影响的关系。利用流动性指标的一阶差分代替流动性指标进行VAR分析,发现波动率对限价订单簿的流动性存在显著影响,而限价订单簿的流动性对股指期货波动率的影响不显著,条件波动率构成市场价差、深度和冲击成本的Granger成因,但后者没有构成条件波动率的Granger成因。股指期货市场波动率导致流动性的变化,是流动性变化的原因,市场波动率越大意味着市场中不同投资者拥有信息集的差异越大,对未来价格预期的差异也就越大,因此市场中买卖价差越大,市场深度越小,流动性也就越差。通过脉冲响应函数方法分析发现,波动率对流动性的影响不具有长期可持续性,在滞后7天左右影响逐渐变小并趋于0。

This paper investigates the interaction between volatility and liquidity in HS300 index future market by using VAR model and impulse function analysis. First, different measures of liquidity are tested against the stationary test. Second, it applies VAR model to study the interactive influence between volatility and liquidity, and finds that volatility plays a more important role. Volatility turns out to be the Granger cause of the change of liquidity proxy, but not the vice versa. When the market volatility becomes higher, the market participants become more confused about the market, in which when the bid-ask spread becomes larger, the market depth becomes lower. Finally, it uses impulse function in the study of dynamical influ- ence between volatility and liquidity, and finds that the influence exerted on liquidity by volatility cannot sustain long, diminishing to be 0 after about 7 days of happening.