The Empirical Research On Capital Market Liquidity And Volatility

Liquidity and volatility in the stock market has been a hot issue for the field of modern financial,liquidity and volatility has always been throughout the market microstructure theory,is used to design the market structure and evaluation of a market structure is mature,stablethe standard. CSI300stock index futures contracts launched in2010is to improve China’s capital market structure,ending a unilateral trading mechanism of the market,so the empirical research of China’s capital market liquidity and the volatility has important practical significance.Liquidity an volatility in the stock market from the perspective of industry and market trend analysis can not only provide investors with more precise investment advice,and more for policy makers and regulators to provide appropriate policy recommendations,an empirical study on the trading of stock index futures market can help market participants understand the current operation of the futures market and the functioning of markets play,and stock index futures and foreign comparative study designed to reveal the lack of domestic futures market and foreign marketsat the constant improvement of the domestic capital market to provide the corresponding recommendations.This article specific research with the main conclusions are as follows:First of all,from the perspective of industry and market trend studies the relationship between stock market liquidity and volatility,in the industry analysis,the paper use Fama-MacBeth cross-section regression to analysis the relationship between the market characteristics and liquidity in different industries,the results that showed a different correlation between the different liquidity indicators of market volatility,the higher degree of monopoly industry,the weak correlation between the degree of liquidity and volatility.Analysis of the market situation,the article uses the Lunde and Timmermann(2004) method to distinguish between a sample period of the bull market and bear market,use CGARCH model analysis of time-varying volatility and long-term composition and short-term components of the different trend,with an emphasis on the relationship between short-term fluctuations and expected liquidity and unexpected liquidity.The results show that the expected liquidity of different momentum on the market short-term fluctuations have different effects,rather than the unexpected liquidity will always be to increase the short-term market fluctuations,increased short-term market risk.Secondly,from the perspective of the price and volume relationship of stock index futures market trading activity on spot market volatility and stock index futures market volatility,using the HP filter detrended volume and open interest series and the detrended volume and open interest is decomposed into the expected composition and unexpected ingredients,using Bessembinder and Seguin(1993) analyzed the impact of stock index futures market trading activity on stock market volatility,the results show that the fluctuations in the spot market more by the spot market volume,trading volume in stock index futures market on the stock market have positive explanatory power,while the open interest don’t have impact on the spot market.Using the same method anaylsis the impact of stock index futures market trading activity on market volatility,and countries refers to the contract data for comparative analysis,the results show that market depth and volatility in different markets have different relations,the futures market volume on volatility have a positive explanatory power,the open interest have a negative explanatory power, and open interest have more explanationability to volatility.the market volatility of United States,Britain and other countries is mainly affected by the unexpected component of the open interest and volume,while the futures market in China and Japan not only by the impact of unexpected ingredients,but also by the expectations component.