Research On The Evolution Of Chinese Silver Futures Market Continuous Trading System

Shanghai Futures Exchange officially launched the gold,silver futures trading system on July 5,2013,marking China’s commodity market in the direction of market-oriented reform has taken an important step on China’s precious metals market system and the formation of the mechanism of price improvement is great importance.Continuous trading system in the domestic implementation of three years,has achieved remarkable results,silver futures market participants continue to increase,the market liquidity more and more enhanced,but in recent years accompanied by the decline in domestic economic growth,the European debt crisis and the dollar interest rate and so on Series of domestic and international events,the silver futures market volatility of the state did not improve.In this context,we need to continue after the implementation of the continuous trading system after the silver futures market,the new fluctuations in the characteristics and risks in-depth study.Therefore,this paper explores the fluctuation of silver futures market and the evolution of market under the continuous trading system with silver futures as the starting point,which not only can systematically verify the effect of continuous trading system,but also has important practical significance to speed up the opening of capital market in China.First of all,in the summary of domestic and foreign silver futures market literature,found that the current research on China’s silver futures market is not only lacking,and the continuous trading system after the implementation of the silver futures market research is still rare,fully explain the need for this study Sex.Secondly,this paper expounds the relevant theoretical basis of the silver futures market,and introduces in detail the theoretical model of the fluctuation characteristics and the guiding significance of the theory.Subsequently,select the Shanghai Futures Exchange silver futures main contract from May 10,2012 to April 1,2015 day trading data,including the price and trading volume,and its equal spacing into three different window period,Respectively,before the event window period,after the event of short-term window period,after the event of long-term window period for multi-level analysis.Finally,through the establishment of ARMA-EGARCH model,the transaction volume is divided into two parts: expected and unexpected,mainly because the expected trading volume and unexpected trading volume on the market information reflect the different effects on the rate of return,and study the existence of leverage Effect and fluctuation characteristics.The results show that: First,the implementation of the continuous trading system significantly reduced the volatility of the yield,increased the rate of return,and significantly decreased trading volume fluctuations,the transaction scale significantly expanded;Second,the silver futures market volatility,And non-expected volume have a significant impact on the yield;third,the silver futures market asymmetry,that bad news is more likely to cause market volatility,and this asymmetry has long been declining trend.