China Share Price Index Futures Market Liquidity Analysis

After CFFEX-China Financial Futures Exchange established on September8th in2006, the CSI300index futures-the first financial futures were listed on the CFFEX on April16th in2010, which means the development of the financial market in China has stepped into a totally new era. As one important organic part of the financial market, the stock index futures market’s liquidity is exactly one of the factors which determines the market’s behavior and efficiency. That is to say, on the one hand, the liquidity plays great importance on whether the stock index futures contracts make sense or not, on the other hand, it can guarantee that the fundamental functions of the stock index futures market should come to reality. Studying the liquidity of the stock index futures market will not only do some help to monitor and prevent the risks in both the futures market and the spot market, but also boost the development of both markets and promote the circulation between them. So, in consequence, doing some research on the liquidity of the CSI300index futures market has great significance on the evolution of our country’s financial market.This paper studies the liquidity of the CSI300index futures market in three aspects. In the first aspect, some research is done on the current situation of the market and systematically introduction is given by generalizing the basic information the market and the contracts listed on it. The second aspect focuses on some theoretical research on the liquidity of the CSI300index futures market. This part summarizes most popular indicators used in the discussion of the domestic and overseas futures markets and compares not only advantages also disadvantages of these indicators one by one. According to the data we could get, this part finally chooses6indicators which are much more suitable. The last but most important aspect present empirical research on the liquidity of the CSI300index futures market. Based on what are discussed in the second aspect, all of the6indicators which identify the liquidity of the market are calculated and analyzed one after the other. Besides this part also make some comparisons among the indicators’statistical features in order to find out which indicator is optimal and most appropriate. A number of analysis has been conducted after seeking out the best indicator. On the first place, the month effect, weekend effect and the expert date effect of the liquidity of the CSI300index futures market are clarified. On the second place, the influence that the liquidity of the futures market has on the spot market proves to really exist.