Research On The Market Liquidity Of China’s Stock Index Futures-based On ACD Model

With the fast development of information technology in financial markets, nowadays researchers can easily get detailed records of each transaction (such as price, trading volume, etc.) through intraday database, which greatly promotes a new area of financial research:study of financial high-frequency data. The analysis of high-frequency data can help people to further understand our financial market and verify the traditional market microstructure theory.As the first domestic financial futures product launched on April16,2010by China Financial Futures Exchange, CSI300stock index futures has showed great market potential among all the derivatives and its microscopic structure has caught much attention.As the basic character of the stock index futures market, liquidity can show its efficiency intuitively and accurately. It is of great importance to measure liquidity and analyze the main influencing factors, which means a lot to market investors and regulators. Of course, it is the starting point of this paper. Due to the fact that transaction data often generate irregularly in unequal intervals and the standard time series analysis is based on fixed time intervals, so great difficulties exist in practical use. This paper selects the ACD method to effectively handle this problem. Firstly we make analyses of different ACD models according to different distribution hypothesis of the error term. Then systematic comparisons are made of all indictors to measure liquidity. At last, volume duration is chosen as the main liquidity measure.In the part of empirical research, this paper uses the linear spline method to get intraday mode of volume duration. results are that obvious intraday mode exists in the stock index futures market. In morning trading hours, liquidity shows a "V" type and in afternoon trading hours, however, liquidity shows an inverted "V" type.Finally, systematic analyses have been made on the factors which can influence the liquidity of stock index futures market. Study shows that the bid-ask spread and market liquidity is negatively correlated, while price fluctuation rate, rate of return and the average transaction volume are positively correlated with the liquidity.