基于交易成本视角的中国油脂期货市场流动性研究  

Research on the Liquidity of China's Oil Futures Markets:A Perspective from Transaction Cost

作　　者：李敬[1] 赵玉[2] 

机构地区：[1]湖北第二师范学院经济与管理学院,湖北武汉430205 [2]东华理工大学经济与管理学院,江西南昌330013

出　　处：《中国地质大学学报（社会科学版）》2011年第5期72-77,共6页Journal of China University of Geosciences(Social Sciences Edition)

基　　金：湖北省教育厅人文社科重点项目"中国菜籽油期货市场效率研究"(2011JYTE022);国家社科基金项目"农产品价格波动;传导与调控实证分析研究"(11CJY063)

摘　　要：流动性是衡量期货市场运行质量的一个重要指标。以我国最近几年上市油脂期货为例,分别考察了价格上涨、价格下跌和价格震荡调整三种不同价格行为阶段的市场流动性。构建了价格冲击模型,基于交易成本的视角分析了油脂期货市场流动性,研究了量价关系,并刻画了不同阶段市场流动性的变化特征,发现在价格下降阶段和价格调整阶段交易频率变动均引发了较大的价格波动,此时交易成本较高。最后针对降低交易成本、提高市场流动性给出了对策建议。The market liquidity is an important indicator to measure the futures market operation quality. Taking China＇s oil futures market as an example, this paper investigates the market liquidity during the stages of price rising, declining and adjusting. Using price impact function, the paper constructs the model to analyze the market liquidity, research the relationship between volume and price and describe the char- acteristics of market liquidity during three different stages from the perspective of transaction cost. The re- sult indicates that the variation of transaction frequency could lead to the sharp fluctuations in price during price declining and adjusting stages. The transaction cost is higher during these stages than during price rising stage. Aiming at lessening the transaction cost and improving the market liquidity, the paper puts for- ward some countermeasures and proposals.

关 键 词：油脂期货 价格行为 交易频率 交易成本 市场流动性 

分 类 号：F832.5[经济管理—金融学]