A Study On Liquidity Of Shanghai Gold Futures Market

In January 9,2008, authorized by the State Council, the Shanghai futures exchange has promoted gold futures trading. However, glod futures'going on the market has not achieved the anticipated effect.From going on the market until now, gold futures contract's trading volume drops unceasingly. The market turnover drops from January 9,2008 121468 to July 31,2009 17314. The market liquidity has received the enormous question. But regarding the futures exchange, liquidity is an important factor to decide a futures contract's survuvability. Indicated by domestic and foreign futures markets'development, the serious liquidity problem possibly initiates the significant market risk, even sends out to other related markets,produces negative overflow effect, and causes serious impact on macro economic development. Therefore, studies the Shanghai gold futures market's liquidity and its influencing factor has the very vital significance.This paper first carries on the simple introduction to the Shanghai gold futures market, and analyses the present situation of Shanghai gold futures market' liquidity from three aspects, such as the measure of market liquidity, the comparison of different markets'liquidity level, and the liquidity external effect to the spot market.Secondly, from the view of market microstructure and the characteristic of Shanghai gold futures market, this paper analyses system variables and regulative variables which have affected the Shanghai gold futures market' liquidity, as well as the correlational dependence between market quality targets. In empirical analysis, through the regression model, this paper analyses the influence of regulative variables and other market quality targets to Shanghai gold futures market' liquidity. Further, this paper analyses the concrete influence process of the daily trading limit and concussion in trading time to Shanghai gold futures market'liquidity. The study discovered that liquidity, daily trading limit and volatility have the inverse correlation relations obviously; When the gold futures price touches the daily trading limit, the Shanghai gold futures market existence liquidity interference effect; Different concussion in trading time has different influence to the liquidity, a suitable concussion in trading time may promote the liquidity.Finally, we elaborate the main conclusions of this paper. According to the above analysis conclusions, this paper put forward the following advice to promote the liquidity of Shanghai gold futures market:to introduce the specialist system; to open the evening electronic transaction; to set a reasonable daily trading limit; to create "mini"gold futures contracts.