论文部分内容阅读
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.
In this paper, we first construct two liquidity indicators based on the price duration and the volume of the transaction. We find that there is conflict between the liquidity measured by the price change and the trading volume. To compare its influence, we construct the liquidity based on the duration Ratio indicators to describe the market liquidity, with the new multi-dimensional liquidity indicators constructed to study the intraday trend and influencing factors of liquidity in China’s futures market, the empirical results show that the trading volume and open interest have a significant positive impact on market liquidity, The absolute return has a significant negative impact on the liquidity, and the trading volume is more significant than the price change.The analysis shows that the commonly used indicators of spreads in foreign countries do not apply to the Chinese market, and the liquidity in the Chinese market must consider the trading volume.