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The intraday trend and impact factor analysis on liquidity of Chinese futures market
LIU Xiang-li, WANG Shou-yang
Systems Engineering - Theory & Practice ›› 2013, Vol. 33 ›› Issue (6) : 1395-1401.
PDF(11733 KB)
PDF(11733 KB)
The intraday trend and impact factor analysis on liquidity of Chinese futures market
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.
price duration / volume duration / liquidity index / order-driven market {{custom_keyword}} /
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