| Liquidity is the vitality of the modern financial market system and a key factor in determining whether a market is effective and stable.The futures market in China adopts an order driven trading system.Due to the differences in trading mechanisms and market operation mechanisms,the formation mechanism and transmission process of market liquidity are different,so the research method should also be distinguished from the market maker market.Firstly,this paper summarizes the existing liquidity research conclusions,analyzes its concept,clarifies the general definition of market liquidity,and leads to the research object.Based on the stock index futures market as a research subject,this paper analyzes its development process and the historical evolution of liquidity.Secondly,based on the definition of market liquidity,we comprehensively measure the liquidity of the stock index futures market from the four dimensions of "price difference","depth","immediacy",and "elasticity",and expand the market depth index to introduce a combination of volume and price indicators.Thirdly,through comprehensive measurement of market liquidity,this paper analyzes the "intraday effect" and "intraweek effect" of liquidity,and explores the level of informed trading and liquidity premium in the market.It is found that informed trading is concentrated in the opening/closing period of a day and Monday within a week,and there is no significant liquidity premium phenomenon in the stock index futures market.Finally,this article classifies and analyzes the investor behavior factors and market trading mechanism factors that affect the liquidity of China’s stock index futures market from an exogenous and endogenous perspective.Through theoretical and empirical analysis,it is found that investor sentiment and investor information asymmetry are positive and negative factors that affect market liquidity,respectively;Individual investors are the main providers of market liquidity;Active orders are a key factor limiting market liquidity;The value of the minimum quotation unit has a significant negative impact on market liquidity.Based on the above research,this article proposes the following suggestions from the perspective of improving the liquidity of the stock index futures market:(1)improving the information disclosure system to reduce the degree of information asymmetry in the trading process;Utilize a prudent monetary and fiscal policy,and use policy foresight to guide investor sentiment in a reasonable manner;(2)Develop multi-level investment entities,not limited to institutional investors,to ensure the activity of market transactions and sufficient market liquidity in all aspects;(3)By expanding the variety of market price orders to increase active orders,a reasonable match can be achieved between active and non active orders,thereby improving liquidity;(4)Implement different minimum quotation units based on the size of futures prices. |
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