A Study Of Liquidity In Futures Market

Liquidity would decide the viability of futures contracts and improve the realization of the basic function of the futures market. Lacking of liquidity is widely acknowledged as one of the main problems in China's futures markets. A study of liquidity problem would do help to improve the market efficiency and strengthen its international competition capability. Lots of literature show that studies abroad are mainly about quotation-driven system and traditional trading pits, whereas studies are seldom about order-driven system and electronic trading system. Also, many studies are about bid-ask spread, whereas studies are seldom about other facets of liquidity. As the market microstructures in developed countries are changing fundamentally in the new century, studies about financial market liquidity also come into new era, so the study of China's futures markets is meaningful. The purpose of this dissertation is the study of the liquidity mechanism and the influential factors of electronic order-driven system.First, the influential factors are divided into four categories namely, market microstructure, futures contracts design, characteristics of traders and macro environment, and their conduct path is analyzed. All the four factors would exert influence on futures market liquidity via the influence of the behaviors and order submission strategy of the traders.The conceptions of the liquidity of futures contracts, the liquidity of futures and the liquidity of futures markets are given according to the features of futures markets, and the measure of liquidity from micro and...