Research On The Relationship Between Liquidity And Volatility Of Chinese Jujube Futures Market

With China’s financial derivatives market continuously improving,more and more new varieties of futures products have emerged.On April 30,2019,Zhengzhou Commodity Exchange listed the second fresh fruit futures variety--red date futures,injecting new strength into the agricultural futures market.Since the listing of the date futures,the initial liquidity is relatively high and the market atmosphere is active.However,many data and news show that the date futures has obvious illiquidity problem.In the financial market,liquidity is always the vitality of the market.Looking back at past financial crises,most of the causes were lack of liquidity.In this sense,avoiding systematic liquidity shortage is one of the key points in avoiding financing risks.How to improve the liquidity of jujube futures and increase the market activity has become a common problem faced by agricultural futures market.As one of the common indicators used to evaluate the development of financial markets,volatility reflects the level and efficiency of financial market activities.In general,increasing market liquidity brings a certain level of volatility.Enhancing liquidity while reducing volatility is another issue to be addressed in the jujube futures market,and it is important to study the relationship between liquidity and volatility in the jujube futures market.Therefore,based on the above issues,this paper firstly selects the macro liquidity indicator turnover rate to analyse the current status of liquidity in the jujube futures market,and finds that the jujube futures market is illiquid and lacks market activity.The paper then selects the modified Amivest liquidity ratio as the liquidity indicator and Garman-Klass volatility as the volatility indicator,and conducts detailed empirical tests on the relationship between liquidity and volatility in the jujube futures market using correlation analysis,VAR model,Granger causality test,impulse response and variance decomposition in both macro and micro aspects using Eviews10.The paper concludes that macroscopic liquidity and volatility in the jujube futures market are positively correlated,microscopic indicators are not significantly correlated with volatility,jujube futures liquidity does not accurately predict changes in volatility,and the level of liquidity in the jujube futures market is not sufficiently effective.The paper concludes with a summary of the main findings and proposes countermeasures to improve the liquidity of the jujube futures market,enhance the effectiveness of liquidity and reduce volatility with respect to the microstructure market,futures contract design,characteristics of market participants and the macro environment,so as to promote the sustainable and regulated development of the jujube futures market.