中国期货市场流动性周内效应及其影响因素实证研究  

Empirical Research on Liquidity Weekday Effect and its Influencing Factors in Chinese Futures Market

作　　者：鲁小东[1] 游达明[1] 曾蔚[1] 申付兆 

机构地区：[1]中南大学商学院,湖南长沙410083 [2]上海乾隆网络科技有限公司,上海200120

出　　处：《湘潭大学学报（哲学社会科学版）》2009年第1期70-76,共7页Journal of Xiangtan University:Philosophy And Social Sciences

基　　金：教育部高等院校博士学科点专项科研基金(项目编号:20060533076);湖南省自然科学基金资助项目(项目编号:05JJ30133)

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周内效应及其影响因素进行了实证研究。结果表明,中国期货市场存在显著的周内效应,而且当控制交易量、持仓量、平均价格和价格波动性等对流动性有显著解释能力的变量时,这种效应仍然存在。Making use of volume, dollar volume, open interest, depth, effective volume and ILLIQ as liquidity measurement index, we conduct empirical study of inter - day liquidity patterns and its influencing factors using daily data during the recent three years. After documenting the conspicuous role of weekday effect within entire futures, and finding that the liquidity weekday patterns still exist when the variables which often influence the liquidity are under control, such as trading volume, open interest, average price, price volatility.

关 键 词：期货市场流动性 日数据 周内效应 

分 类 号：F830.9[经济管理—金融学]