Research On Liquidity Information Content Of Chinese Commodity Futures Market Under Extreme Fluctuation

For China’s commodity futures market, extreme fluctuations still happen occasionally. As the most important integrated index of the marketmicrostructure theory, liquidity contains a large amount of information inherently. Therefore, it’ll be quite essential and meaningful to analyze the liquidity of China’s commodity futures market under extreme circumstance.This paper have studied the subject from three parts. First of all, we recognizethe jumps with SVCJ model and MCMC method, and then we doresearch on the features of market depth and its determinants which show significant asymmetry. After that, we study the relation of the liquidity and its explanatory variables, revealing that the dependent variable has significant positive correlation with trading volume and negative correlation with volatility, In the last part, we discover that the liquidity premium shows a significant asymmetry through the research, and we’ve attempted to construct a more comprehensive liquidity proxy.