China's Futures Market Liquidity Measure

Liquidity is the source for the life of futures market. And it is also an important index that is used to examine the working efficiency and maturity of futures market. From the past literature, because of many attributes of market liquidity, it is difficult to define it, so there isn't a uniform standard for the measure of liquidity. And few people do research on the measure of liquidity in futures market, especially in Chinese futures market that is based on order-driven system. So it is necessary to do research on the measure of liquidity in Chinese futures market from the aspect of theory and empiricism. It is of great importance to improve futures market's working efficiency and better it's development.In this passage, we combine theoretic study with empirical analysis, qualitative analysis with quantitative analysis. On the basis of collecting large quantities of correlated information, we define the liquidity of futures market clearly. On the basis of summarizing the measure of liquidity inside and outside of our country, we put forward the selecting standard for measure and index system in our country's futures market. Then we do empirical research on liquidity in futures market so as to explore the validity of the measure we put forward above. Through the empirical analysis, the conclusion is as followings:The index system that is made up of adjusted Hui-Heubel liquidityrate and liquidity index L can reflect better the characteristics of liquidity and actual development in our country's futures market. Therefore the index system is good for measuring the liquidity in our country's futures market. And it is not only fit for measuring the liquidity in Chinese futures market based on order-driven system, but also in overseas futures market based on quote-driven system.