| China’s stock market has long been a unilateral market, investors can only profit when the stock market rose. In order to make investors more profitable opportunities, we need to develop a variety of financial instruments, stock index futures is one of them. The existence of stock index futures can enrich different investors’profit model, so that investors have the opportunity to profit when stock market rose and fell. Stock index futures has a variety of functions, including hedging, speculation and arbitrage, Meanwhile in the risk management, stock index futures with its large trading volume, high liquidity, strong leverage, low transaction costs and other advantages, more superior than the traditional risk management tools. Especially when we need to do asset allocation, investors can adjust the stock index futures based on the overall trend of the stock market, to achieve the asset allocation quickly and effectively, and avoid the occurrence of investment risk.As a new product of financial market, stock index futures are getting more and more attention. At the same time, as a kind of financial instrument, its transaction data show obvious characteristics of high frequency data. Which decides that we must use high frequency data analysis method to study its intrinsic properties. High frequency data contains a wealth of market information, analysis of it, so that investors can improve the understanding of the financial markets, grasp the market law.This paper focuses on the liquidity of stock index futures market and its influencing factors. The data used in this paper is the daily trading data of stock index futures, as a kind of high frequency data, which has the characteristics of unequal time interval, we proposes to use the ACD model to model the data of unequal time interval. As a basic attribute of financial market, liquidity can accurately describe the operational efficiency of the market. We defines the liquidity as the ability to quickly carry out transactions with a reasonable price. The research shows that the capital asset pricing, return volatility are related to the liquidity. By consulting the relevant literature, we know that the measurement of the liquidity can be based on the properties of real-time, depth, width and elasticity. In this paper, we first introduce the method to measure the liquidity in the existing research, and compares the advantages and disadvantages of each method. Finally, we can combine the two basic attributes of transaction duration and transaction volume to measure the liquidity effectively.In the empirical research, this paper selects the IF 1508 in July 2015 for the 11 consecutive trading days of the data. First, using the spline method to get the daily internal model, then the ACD model is used to fit the data, and the factors that affect the liquidity of the stock index futures market are analyzed.The main work done in this paper is as follows:The first chapter describes the background and development of stock index futures, and then describes the importance of the liquidity in financial markets and the significance of this paper.In the second chapter, the definition, characteristics and problems of high frequency data are introduced, and the linear ACD model and ACD model are described according to the different distribution of the error term and the. different forms of the expected equation.In the third chapter, we analyze the method of measuring the liquidity in the existing literature, and then evaluate the advantages and disadvantages of each index, this paper decided to choose the duration of the transaction as a measure index.In the fourth chapter, we first use the method of piecewise spline function to eliminate the intraday pattern of stock index futures, and then use the ACD model to fit the data after the date. Subsequently, the factors affecting the liquidity are analyzed by the logarithm ACD model, which is added to the price volatility.The fifth chapter is the research conclusion and suggestion. Comprehensively summarize the conclusions of this paper and put forward the relevant recommendations for investors and market regulators for reference.The conclusions of this paper are as follows:(1) Firstly, we used the piecewise spline method to get the model of stock index futures market days, in the morning and afternoon trading hours respectively, showing inverted "V" and "V" type.(2) The results show that there is a strong correlation between the duration of the adjustment and the duration of the before. The results show that the duration of the adjustment has obvious characteristics of the high frequency data. The correlation of the duration of the visible sequence is not determined by the daily pattern, which can’t eliminate the self-correlation of the sequence.(3) In this paper, four linear models are used to fit the duration data, The results show that the fitting effect of BACD model is the best, which is the most suitable for the research of the liquidity of China’s stock index futures market.(4) In the last part of the empirical analysis, the influence factors of stock index futures market liquidity were studied. The research found that the price volatility, return and average trading volume were positively related to liquidity, while the trading spreads were negatively related to liquidity. |
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