China Stock Index Futures Liquidity Measure

Price discovery and hedging function can work out effectively on the basis of the high liquidity of the stock index futures. However, the liquidity of the stock index futures is always low at the early times when the stock index futures is introduced to China. Since CFFEX CSI300 futures has been traded for almost one year, it is necessary to do research on the liquidity measurement of the stock index futures in China, and the research can help reflect both the current situation and the problem of the liquidity.By studying a large number of literature related to the financial market liquidity measurement, and combining with the characteristics of the stock index futures in China, the index system of stock index futures liquidity measurement in China has been established in accordance with proper, comprehensive, viable and scientific principles. The index system includes 7 index which are volume, transaction amount, open interest, average depth, turnover rate, effective volume and liquidity ratio. By combining qualitative analysis with quantitative analysis, the liquidity of CFFEX CSI 300 futures has been empirical tested from the different perspectives of liquidity general characteristics, volatility, time characteristics and factors which may have effects on liquidity. And the conclusion is as followings:CFFEX CSI 300 futures is traded active and the liquidity is high; the liquidity volatility is significant and the liquidity volatility is much larger than the degree of price volatility; there is no calendar effect; volume, open interest and turnover rate have effects on liquidity, and turnover rate has a greater effect than others. In short, the index system is able to measure the liquidity of stock index futures in China effectively.