限价订单簿流动性影响因素的实证研究——来自沪深300股指期货市场的证据  

An Empirical Study on the Influential Factors of Limit Order Book Liquidity——Evidence from HS300 Index Futures Market

作　　者：范玉良 

机构地区：[1]中国金融期货交易所,上海200122

出　　处：《上海金融》2014年第4期78-83,118,共6页Shanghai Finance

摘　　要：本文对我国沪深300股指期货市场限价订单簿的流动性提供进行了实证研究。首先,依据限价订单簿流动性的多维属性和整体形态,从不同侧面构建度量限价订单簿流动性供给的指标。其次,通过构建回归模型分析限价订单簿流动性供给的影响因素。最后,通过将收益率和波动率逐步地加入到回归方程,考察不同因素对流动性指标的影响。实证结果表明,我国股指期货市场波动率对流动性的影响大于收益率,当预期市场波动和已实现市场波动增加时,限价订单簿的流动性减少,其中预期市场波动的影响要大于已实现市场波动。收益率对流动性指标的影响方面,市场上涨和下跌对流动性的影响是不同的,市场下跌造成限价订单簿流动性下降,在市场上涨时市场的流动性得到改善。This paper investigates the liquidity provision of limit order book on HS300 index futures market in China. First, it constructs dif-ferent measures of the liquidity provision on limit order book. Second, the paper applies regression model to study the influence from market factors. Finally, it adds market volatility and return rate incrementally into the regression model to examine the effect of various factors on liquidity. The empirical results suggest that market volatility plays a more important role in the liquidity provision. We find that when expected or achieved mar-ket volatility increases, the limit order book's liquidity decreases. And the expected market volatility has stronger influence than that of achieved market volatility. Moreover, the market return acts differently in the process of liquidity provision. When the market declines, the liquidity provision of limit order book is stressed, and when the market ascends, the liquidity provision of limit order book is enhanced.

关 键 词：沪深300指数期货 限价订单簿 流动性 市场波动率 收益率 

分 类 号：F830.9[经济管理—金融学]