An Empirical Research On Liquidity Risk Measurement Of Chinese Commodity Futures Market

This dissertation tests the characteristics of liquidity and measures both the exogenous and the endogenous liquidity risk of Commodity Futures Markets in China since the liquidity risk has been a hot topic to the academe researchers,supervisory institution,and capital investors. The innovative points of the paper are as follows.1.Investigates the magnitude of the liquidity risk on Chinese commodity futures market and confirms that the liquidity risk in china's commodity futures market is an important part of future risks,which can cause a serious underestimate of risk if their existence has been ignored. On the basis of classification of liquidity risk by BDSS(2001),the paper fractionizes exogenous liquidity risk into both exogenous liquidity risk which has a bid-ask spread and exogenous liquidity risk which hasn't a bid-ask spread.Considering the lack of measurement in liquidity risk on Chinese commodity futures market,the characteristics of futures market's liquidity and the measurement of both exogenous and endogenous liquidity risk have been researched by the numbers through the definition of commodity futures liquidity risk,both the exogenous and endogenous commodity futures liquidity risk.The result of the 1,978,362data which from nine future varieties of the three major exchanges show that: China's commodity futures market has systemic liquidity risk,and the immeasurable loss should happen when liquidity risk appears.2.The Chinese commodity futures market liquidity characteristics has been empirical tested from the different perspectives of liquidity distribution,time characteristics,cost characteristics and the characteristics of co-movement.The following conclusions on Chinese commodity futures market are as follows:the mobility of liquidity is much larger than the degree of price volatility;the conspicuous role of liquidity weekday effect and liquidity commonality have been documented in Chinese commodity futures;the adverse selection component,the order processing component and the order persistence component have been analyzed from the bid-ask spread;the adverse selection component shows a L-shaped pattern and the order processing component shows a U-shaped pattern and the order persistence component shows a reverse L-shaped pattern during a day.Those empirical studies above show that liquidity risk is the systemic risk but not to diversify.3.Establishing a metrical model of exogenous liquidity risk on Chinese commodity futures market,the results support that it is necessary for investor to consider the exogenous liquidity risk when estimate the VaR.After designing the VaR metrical model of the exogenous liquidity risk which has a bid-ask,and estimating the relevant parameters by a group model of GARCH and the method of regression analysis,final results show that the traditional metrical VaR model on Chinese futures commodity market underestimated the risk for about 2%,the maximal risk of the exogenous liquidity risk which has a bid-ask spread is 3.8 times higher compared with transaction costs and is approximate to 0.5% proportion of moneyman's own capital.In the next place,based on testing of relevant hypotheses,the fact shows that the delay-effect of the price limit has one-day duration has been confirmed.Using the return data adjusted after the price limit,the paper then gained the VaR modulated by exogenous liquidity risk which hasn't a bid-ask spread.The ultimate results show that two types of the adjusted VaR have significantly improved both in the accuracy of the forecast and the changes between before and after adjustment.4.Founding a metrical model of endogenous liquidity risk on Chinese commodity futures market,the results show that it would loss beyond retrieve when endogenous liquidity risk has been neglected,this segment of the paper firstly constructs the microstructure model of price impact under Chinese commodity futures market's order-driven mechanism,and then designs LrVaR model which considering effect of idiosyncratic factors such as the liquidity of futures contract,trading strategy,cash size,etc under the assumption both of Geometric Brownian Motion and the linear impact of the price.By using Monte Carlo simulation method,the outcome of LrVaR which under different parameters enactment approves that the LrVaR of Chinese futures commodity market can't be ignored and the low liquidity portfolio is 3.11 times higher than the traditional VaR at the 95%confidence level,and 2.29 times at the 99%confidence level.