An Empirical Study On The Liquidity Of Stock Index Futures In China

Price discovery and hedging function can work out effectively on the basis of the high liquidity of the stock index futures. Since CFFEX CSI 300 futures has been traded for about four years, 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.There are a large number of literatures related to the financial market liquidity measurement, scholars has established a lot of reasonable and effective indexes. But the studies are mainly about foreign market, few are about CFFEX CSI 300. Some studies are based on the daily data to reflect the overall liquidity, few are based on the high frequency data. It is not enough to reflect the characteristics of the stock index futures in China. Scholars should research the characteristics with high frequency data.By studying a large number of literatures, 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 with proper, scientific principles. By combining qualitative analysis with quantitative analysis, the liquidity of CEFEX CSI 300 futures has been empirical tested from the different perspectives of liquidity general characteristics, time characteristics and factors which may have effects on liquidity. By comparing the liquidity before and after the fee rate changed to analysis the influence of fee rate. This aspect of liquidity is rarely empirical tested by scholars. And the conclusion is followings:CFFEX CSI300 futures is traded active and the liquidity is high; as for the time characteristics, intraday effect is significant, but week effect and month effect are not obvious; The Chinese Financial Futures Exchange decreases the fee rate two times, every time after the decrease, the liquidity of market is increased.