| 基于综合流动性度量指标的中国期货市场流动性溢价研究 |
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| 引用本文： | 沈虹.基于综合流动性度量指标的中国期货市场流动性溢价研究[J].数理统计与管理,2013,32(2):315-322. |
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| 作者姓名： | 沈虹 |
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| 作者单位： | 扬州大学商学院,江苏扬州,225009 |
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| 基金项目： | 国家自然科学基金项目(71071034);扬州市软科学项目(YZ2011119)资助 |
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| 摘 要： | 本文从流动性成本、流动性波动和到期日三个角度出发构建了衡量期货市场的综合流动性度量指标,并利用该指标对中国期货市场的流动性溢价问题进行研究。实证结果表明,流动性水平的差异对不同到期日期货合约的收益差异的影响存在差异性,当期流动性水平差异及其滞后期对收益差额的波动影响显著,其中,期货铜和铝市场中流动性对收益差额的影响存在过度反应→适度矫正的过程。
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| 关 键 词： | 期货市场 流动性度量 流动性溢价 |
Research on Liquidity Premiums in Chinese Futures Market based on Integrated Liquidity Measuring Index |
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| SHEN Hong.Research on Liquidity Premiums in Chinese Futures Market based on Integrated Liquidity Measuring Index[J].Application of Statistics and Management,2013,32(2):315-322. |
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| Authors: | SHEN Hong |
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| Institution: | SHEN Hong (Commercial College,Yangzhou University,Jiangsu Yangzhou,225009,China) |
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| Abstract: | In this paper,three factors including the cost of liquidity,volatility and maturity are considered to construct a comprehensive measure indicator of liquidity,and the issue of the liquidity premium is studied aimed at Shanghai Futures market.The empirical results show that difference in liquidity has significant effects on the price difference of different maturity futures contracts,and current and lag difference in liquidity affect the fluctuation of price difference.Moreover,the influence of liquidity to price difference has a course of excess response to moderate rectification in the markets of copper and aluminum. |
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| Keywords: | futures market liquidity measurement liquidity premium |
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