| Market liquidity, an important indicator of measuring the financial market's quality, also the important guarantee of the effective functioning of the financial markets, has extremely far-reaching significance for the financial market's stability and development. Liquidity in the futures market plays a very important role. Good liquidity contributes to the futures market price discovery, hedging, speculative function and stability of the spot market prices; helps futures contracts to survive and develop; helps enhance the competitiveness of the futures market. Good liquidity of the futures market is conducive to promoting the flow of the spot market and the development; helps investors to conduct transactions. Liquidity is one of the fundamental objectives of the futures market system designing, which helps to improve liquidity, lower transaction costs, activate futures market transactions, and effectively gather and disseminate price information, and in a micro manner, helps hedgers to avoid price volatility risks of underlying assets, and in the macro way, contributes to the formation of the price discovery mechanism.Futures market liquidity is affected by many factors, including macroeconomic policy, the cash market maturity, market microstructure, market transactions activeness indicators. As one of the market microstructures, trading-break system certainly impacts the liquidity of the futures market, as demonstrated by its impact on trading in the market. Because of the economic, social, legal, traditional and other reasons, futures markets differ in their market microstructure arrangements and the trading-break system. The United States, for instance, use the continuous trading for the main trading period; The United Kingdom and Japan futures markets adopt the sub-section trading in the market's open outcry trading hours, set off by inter-section arrangements; Emerging market countries'futures market adopt the noon break system. China's futures market uses the trading-break system arrangement. This paper mainly studies the impact of China's trading-break system on the intraday liquidity in the futures market.In this paper, using theoretical analysis and empirical analysis, qualitative and quantitative analysis's research methods. In the theoretical analysis, on the basis of studying factors of liquidity of the futures market, study the trading-break system's impact mechanism to the market liquidity from the point view of the market microstructure; In the empirical analysis, use the liquidity measures of China's futures market and regression analysis and quantitative analysis to study China's futures market intraday high-frequency data.Comprised of four chapters, the paper first defines in chapter one the trading-break system and classifies the trading-break systems in the market, before comparing and analyzing the major international futures market's trading-break systems and the trading-break system in the Chinese futures market; Chapter II first studies futures market liquidity's definition and measurement methods, and analyzes impact factors of the futures market liquidity, based on that, the paper studies the impact of trading-break systems upon market liquidity as a market microstructure arrangement; Chapter III introduces the liquidity measures of China's futures market and related data, and, based upon the measures and data, develops an empirical analysis of China's futures market to study the liquidity features of period of before and after the break and the impact of the trading-break system on liquidity; Chapter IV presents the conclusion and corresponding policies and solutions. |
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