China's Commodity Futures Market Liquidity

Liquidity, an important characteristic of finance markets, is influenced by different markets and market factors, therefore, has many facets and takes on some regularity. When people investigate on market liquidity, they have studied from different views by ways of macrostructure and microstructure, static state and dynamic, regularity and peculiarity. Many scholars have made some research on capital markets liquidity abroad or native, but a little research has been made on futures market liquidity, in particular analytical index and demonstration. This paper is pursued at this time.Futures markets, an important part of finance markets, have some common regularity and peculiarity to finance markets. When we begin to do this paper, we combine the characteristic of market liquidity with its peculiarity of futures markets. The whole paper is divided into three parts.Part one looks over all kinds of paper we can get and makes a summary of the core of their research, then gives the concept of futures market liquidity.Part two chooses some analytical index about macrostructure and microstructure. Macro index: trade volume,futures/spot,open interest,price volatility,delivery ratio. Micro index: depth,spread,block impact. Then we, using macro index and micro index, make some demonstration on futures market And we compare the result of native futures market with the result of international futures market, and get some conclusions. This part is the core of this paper. The macro and micro index is useful to analyze futures market liquidity. The conclusions are helpful to comprehend the present liquidity level of the futues market and learn about the future development patentPart three puts forward some helpful approaches to improve our futures market liquidity.