中国农产品期货市场流动性成本实证分析——基于日内高频数据的期货市场流动性算法

期货市场流动性状况直接影响期货市场价格发现和套期保值功能的发挥。根据Thompson-Waller模型,采用中国主要农产品期货合约日内高频逐笔数据,计算各期货品种的流动性成本,结果表明：各合约之间存在流动性成本差异,交易量和交割期是影响流动性成本的重要因素,交易量与流动性成本负相关,负相关程度因合约而异。研究还显示,萨缪尔森假说在中国农产品期货市场成立,但有学者主张的流动性合理区间概念对实际的流动性成本约束较弱。

A Positive Analysis of Liquidity Cost in Chinese Agricultural Futures Markets——Algorithms of Liquid Cost Using Intraday High-frequency Tick-by-tick Data

Liquidity situation has close relationship with effectiveness of price discovery and hedging function in futures markets.Following Thompson-Waller Model,this study quantifies differences in liquidity cost among Chinese agricultural futures using intraday high frequency tick-by-tick data.Results suggest that the liquidity costs are different among futures contracts,mainly depending on trade volume and expiration.The increased volume is associated with lower liquidity costs,however,with different significances.Some results support Samuelson Hypothesis in Chinese agricultural futures market,but the notion of rational range of liquidity,proposed by some researchers,has no clear ineffective constraints on practical liquidity costs.