期货合约流动性度量方法及实证分析

流动性是衡量金融市场运行效率和成熟程度的重要指标。对于期货市场来说,流动性尤为重要,保持期货市场良好的流动性,不仅可以降低交易成本,发挥价格发现的功能,还可以降低交易者面临的信用风险。以Amivest比率为代表的量价结合模型以最大价差反映流动性紧度,在价格波动剧烈时,特别是发生涨跌停板时,会过度放大紧度对流动性变化的影响,由此引起流动性度量偏差。因此,提出了修正的E-Amivest流动性比率,以波动率代替最大价差,通过对沪铜期货合约交易数据的实证分析,表明E-Amivest方法有效地解决了紧度比重过大的问题。在E-Amivest基础上,考虑持仓量变化对期货合约流动性的影响,提出了量仓比率模型,以同时反映期货合约的持仓量特征和交易量特征,实证表明,量仓比率可以为期货市场交易管理和风险分析提供有效的技术手段。

A Liquidity Model of Futures Contracts and Its Empirical Analysis

Liquidity is an important aspect for evaluating the efficiency and maturity of a financial market.Recent many financial institutes,investors and bureaus paid much attention to it.For futures market,liquidity seems more important.With good liquidity,traders may reduce transaction cost,and Futures may perform better in leading price discovery.Furthermore,good liquidity may free Futures Exchanges out of the credit crisis.Current research work mainly focused on the liquidity models for securities market.and research work on the futures market is mostly Empirical.Few is concerned with the liquidity and liquidity orisis modeling.We propose an enhanced Amivest liquidity ratio named E-Amivest.The model overcomes the disadvantage of Amivest model that overrates the function of market tightness.Furthermore,Volume Open-Interest Ratio(VOI ratio) is proposed based on E-Amivest and empirical study shows that the VOI ratio reveals the liquidity characteristics of futures market better than other models.