基于买卖价差的上海期货市场流动性实证研究

发布时间：2018-05-07 06:02

本文选题：上海期货市场 + 买卖价差　；参考：《新疆财经大学》2013年硕士论文

【摘要】：2012年1月30号国家发改委正式印发了《“十二五”时期上海国际金融中心建设规划》（以下简称《规划》），《规划》中提出了到2020年将上海“基本建成与我国经济实力以及人民币国际地位相适应的国际金融中心”的战略目标要求。期货市场作为金融市场重要组成部分之一，上海国际金融中心的构建离不开期货市场的进一步发展。对上海期货市场流动性研究有利于为决策者提供理论依据，进一步增强上海期货市场流动性，，减小交易者的交易成本，完善上海期货市场的定价功能，使上海期货市场在全球范围内获得定价权。期货市场流动性度量指标可分为宏观、中观、微观三个层面的指标。买卖价差作为衡量市场紧度的一个指标，可以从微观层面衡量期货市场流动性。本文应用买卖价差理论、LSB模型等对上海期货市场流动性进行了研究。选取了上海期货市场的铜、螺纹钢、锌、铝、天然橡胶、黄金等6个品种在2012年1月4号至2012年5月29号期间的主力合约为研究样本，样本数据均为日内分笔高频数据，每笔数据交易时间精确到秒。研究结果显示：（1）上海期货市场期货合约最小变动价位存在设置过高现象。（2）上海期货市场流动性呈现明显的“日内效应”和“周内效应”。在交易日内，开盘时流动性较差，随着交易的进行流动性趋好；一周当中，铜、螺纹钢、锌、铝、天然橡胶5个品种在周一和周四的流动性要差于其他几个交易日，而黄金则是周一和周五流动性最差。（3）以买卖价差衡量的流动性成本可显著分解为信息不对成分、指令持续成分、指令处理成分。（4）上海期货市场跟风程度较高。从指令持续概率上来看，上海期货市场跟风程度要高于上海股票市场。
[Abstract]:On January 30, 2012, the National Development and Reform Commission officially issued the "12th Five-Year Plan" for the Construction of Shanghai International Financial Center. And the international status of the renminbi to adapt to the international financial center, "the strategic objectives of the requirements." As one of the important components of the financial market, the construction of Shanghai International Financial Center can not be separated from the further development of the futures market. The research on liquidity of Shanghai futures market is helpful to provide theoretical basis for decision makers, further enhance liquidity of Shanghai futures market, reduce transaction cost of traders, and perfect pricing function of Shanghai futures market. Shanghai futures market in the world to obtain pricing power. Futures market liquidity metrics can be divided into macro, meso, micro-level indicators. As a measure of market tightness, the spread of buying and selling price can be used to measure the liquidity of futures market at the micro level. In this paper, the liquidity of Shanghai futures market is studied by using the LSB model. The main contracts of copper, rebar, zinc, aluminum, natural rubber and gold in Shanghai futures market between January 4, 2012 and May 29, 2012 were selected as the research samples. Each data transaction time is accurate to seconds. The results show that: 1) the minimum variable price of futures contract in Shanghai futures market is too high. (2) liquidity in Shanghai futures market shows obvious "intraday effect" and "intraweek effect". During the trading day, the liquidity of the five varieties of copper, steel, zinc, aluminum and natural rubber was lower than that of the other trading days on Monday and Thursday. Gold is the worst-liquid on Monday and Friday.) the cost of liquidity measured by the spread in buying and selling spreads can be significantly broken down into information misinformation components, command persistence components, and instruction processing components. 4) Shanghai futures markets are more likely to follow suit. From the point of order duration probability, Shanghai futures market is higher than Shanghai stock market.
【学位授予单位】：新疆财经大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F832.51;F224

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