An Empirical Study On The Liquidity Of China's Commodity Futures Market

Commodity futures is an important part of the financial market,so that investors can hedge to achieve risk aversion,investors can also deal with speculative arbitrage and other investment.Liquidity is an important indicator of the microstructure of the market to help us understand and analyze the financial market.Although the domestic and foreign scholars have studied the liquidity of the financial market,especially the securities market,the liquidity of the commodity fixtures market,especially the measurement index and the empirical analysis are not rich.This paper is from this background,trying to explore China's commodity futures market liquidity characteristics.With the development of information technology,the acquisition of financial high frequency data becomes more and more easy.This also allows us to validate the traditional microstructure theory of the market by analyzing high frequency data.However,due to the high frequency data with irregular interval characteristics,the traditional analysis model,such as ARCH,GARCH model,can not be used directly.In this paper,the ACD model proposed by Engle and Russell is used to model the duration of the transaction,and the high frequency data of unequal time interval are well realized.The article structure is divided into four parts.The first part summarizes the research results of high frequency data and market liquidity both at home and abroad.The second part introduces the autoregressive conditional duration(ACD)model and the measure of market liquidity.In the third part,based on the ACD model and the market microstructure theory,the four futures varieties(Rb,Ru,Ma,M)with good liquidity in China's commodity futures market are analyzed empirically.The fourth part,the study summary.In this paper,we can draw conclusions as follows:1,the duration of the transaction there is a clear intraday pattern and a strong autocorrelation.2,In this paper,four ACD linear models are used to fit the transaction duration data.It is found that the BACD model is the most suitable model for China's commodity futures market.3,Through the empirical analysis,it is found that the bid-ask spread,the average transaction volume and the market volatility are positively correlated with the liquidity,and the yield is negatively correlated with the market liquidity.4,Hedging is the main trader of China's commodity futures market.