| 中国期货市场日内流动性及影响因素分析 |
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| 引用本文： | 刘向丽,汪寿阳.中国期货市场日内流动性及影响因素分析[J].系统工程理论与实践,2013,33(6):1395-1401. |
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| 作者姓名： | 刘向丽 汪寿阳 |
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| 作者单位： | 1. 中央财经大学 金融学院, 北京 100081;
2. 中国科学院 数学与系统科学研究院, 北京 100190 |
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| 基金项目： | 国家自然科学基金(71071170);教育部新世纪优秀人才支持计划(NCET-11-0750); 中财121人才工程青年博士发展基金(QBJJJ201003);中央财经大学青年科研创新团队资助 |
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| 摘 要： | 本文首先构造了基于价格久期和交易量久期的两个流动性指标, 发现用价格变动和交易量来衡量的流动性有冲突, 为比较其影响力, 又构建了基于久期的流动性比率指标来描述市场流动性, 用构建的新的流动性多维指标研究了我国期货市场流动性 的日内趋势及影响因素, 实证结果表明交易量和持仓量对市场流动性都具有显著的正影响, 绝对收益率对流动性有显著的负影响, 且交易量比价格变动影响更为显著. 分析表明国外常用的价差指标不适用于我国市场, 度量中国市场的流动性必须考虑交易量因素.
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| 关 键 词： | 价格久期 交易量久期 流动性指标 指令驱动市场 |
| 收稿时间： | 2011-01-19 |
The intraday trend and impact factor analysis on liquidity of Chinese futures market |
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| LIU Xiang-li
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WANG Shou-yang.The intraday trend and impact factor analysis on liquidity of Chinese futures market[J].Systems Engineering —Theory & Practice,2013,33(6):1395-1401. |
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| Authors: | LIU Xiang-li WANG Shou-yang |
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| Institution: | 1. School of Finance, Central University of Finance and Economics, Beijing 100081, China;
2. Academy of Mathematics and Systems Science, Chinese Academy of Sciences, Beijing 100190, China |
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| Abstract: | Based on price duration and volume duration, this paper introduces two indexes to describe the market liquidity. Results show that there is conflict between the two indexes. To find out which is more significant, liquidity ratio is introduced to demonstrate the liquidity situation. Using the new indexes, this paper studies the intraday trend of liquidity and makes model to find out the factors influencing the liquidity of futures market. Empirical results show that both volume and open interest influence the liquidity positively, while absolute yield has significant negative influences. What's more the volume's influence is more significant. The results also show that price spread is not suitable for Chinese market. We should consider the volume when measuring Chinese market's liquidity. |
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| Keywords: | price duration volume duration liquidity index order-driven market |
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