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| 中国期货市场流动性协动现象实证研究 | |
| 引用本文： | 游达明,鲁小东,曾蔚,颜春燕,申付兆.中国期货市场流动性协动现象实证研究[J].系统工程,2008,26(9). |
| 作者姓名： | 游达明 鲁小东 曾蔚 颜春燕 申付兆 |
| 作者单位： | 1. 中南大学,商学院,湖南,长沙,410083 2. 南京师范大学,泰州学院,江苏,南京,258300 3. 上海乾隆网络科技有限公司,上海,200120 |
| 基金项目： | 教育部高等学校博士学科点专项科研基金 ， 湖南省自然科学基金 |
| 摘 要： | 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协动进行了实证研究.结果表明,中国期货市场存在显著的流动性协动现象,日内交易者易受市场流动性变化的影响,并且该现象具有显著的行业效应、地域效应以及组合效应. |
| 关 键 词： | 期货市场流动性协动 行业效应 地域效应 组合效应 |
Empirical Research on Liquidity Commonality in Chinese Futures Market |
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| YOU Da-ming,LU Xiao-dong,ZENG Wei,YAN Chun-yan,SHEN Fu-zhao.Empirical Research on Liquidity Commonality in Chinese Futures Market[J].Systems Engineering,2008,26(9). | |
| Authors: | YOU Da-ming LU Xiao-dong ZENG Wei YAN Chun-yan SHEN Fu-zhao |
| Institution: | 1.School of Business;Central South University;Changsha 410083;China;2.Taizhou College;Nanjing Normal University;Nanjing 258300;3. Shanghai Qianlong Network Technology Co.;Ltd.;Shanghai 200120;China |
| Abstract: | Making use of Volume,Dollar Volume,Open Interest,Average Depth,Effective Volume and ILLIO as liquidity measurement index,we conduct empirical study of commonality in liquidity by using daily data during the recent three years from 3 Chinese Futures Exchanges.After documenting the pervasive role of commonality within entire Futures,we also find the distinct empirical evidence of industry effects,regional effects and portfolio effects,and find day traders who liable to influence of co-movements. |
| Keywords: | Liquidity Commonality of Futures Market Industry Effect Regional Effect Portfolio Effects |
| 本文献已被 CNKI 维普 万方数据 等数据库收录！ | |