Research On The Microstructure Of The Futures Market-Theory And Pratice

The microstructure of the futures market includes the micro-factors which are associated with the trading price of the futures, such as the participants of the futures market(investors,dealers and brokers),the form of the trading ground and the trading mechanism(for example,the regulation of the orders match,disclosure of the trading information,mechanism of the market stabilization ), etc. Those micro-factors consist of the micro-transmission-mechanism between the futures market and outside environment. The futures market of our country is less developed than those of the western developed countries. Addition to historical differences in the cultural deposits,institutional environments and humane conditions,we have to come over a lots of difficulties to introduce in the institutions from western countries. This article probe into some impotent aspects from views of formation of the price of market,liquidity of market,volatility of the market and the justice of the market,and by means of the theoretical and empirical instruments. We aimed to more intensively and more thoroughly understand the futures market of our country.We at first model the process of price formation of the futures market by means of sequential game theory and dynastic stochastic matching theory,and systemically analyze the factors in mechanism and process of the price formation of the future market and correlation ship between these factors. The empirical test after the modeling and comparison between the effects of the auction market and dealer market are others two focuses of this article.The volatility of the return of the futures market is studied by econometric modeling in which the variance of the futures market of our country is combined with the theory of diffuse-jump. We then estimated and tested the GARCH-Jump effect of our country's futures market by defining the RMB exchange rate as the jump source. In Addition,we integrated the nonlinear properties such as clustering,fat-tail and lever effect etc. into one model to analyze them. We finally aimed to raise a practical rain of thinking for the analysis of the microstructure of our country's futures market.We then analyzed the disclosure mechanism of the futures market from the views of the realistic system of the Chinese futures market. Based on the institutional analyses,we probe into the economic effect of the information transmission and its quality. In the end this article empirically studied the information disclosure effect of our country's futures market by means of event-study.In the behaviors of the orders flow,this article looked the limit price,limit depth,offer spread and volatility as the explanatory variables to empirically analyze the price shock and the exercise time of the limit orders flow. Incorporating the effects of explanatory variables such as the limit price, the limit size, the bid-offer spread and market volatility, this article develops a survival analysis model to empirically research into the price influence and executions of the limit-order flow. We find that the execution time are sensitive to most of the explanatory variables except the limit size.Based on the empirical research of our country's price limit mechanisms of the futures markets and combined with the achievements of the foreign and domestic academic circles, This paper analyzed the relationship between the price limit mechanisms, volatility and liquidity in stock markets. With a view of better transparency, we are suggested to properly adjust the price limit mechanism by the way of continuing to carry out the price limit of 10% to those listed companies with small scales,bad performances and credits ,While loosening or even canceling the price limit to those with big scales,good performances and credits.Based on the means of event-study and combined with the groups-study, This paper set the day when the trading price reached the price limit as the criterion event,and then analyzed the difference between distinct groups. In the end,we compared the behavior disparities between the differential groups.In the delivery mechanism,we empirical analyzed and compared the influences of the mechanism of workshop-instead -of-warehouse and the rolling delivery by using the behaviors of contracts of the beans futures .As the two news delivery regulations,they have the deep effects on the behaviors of the futures price and price discovery and its efficiency.Finanly,if we could more deeply probed into all of the details of the futures market of our country and more intensively combined with the humane reality of our country,we surely can have more practical usage and persuasion in this article. We have to continue the work in the succeeding research.