Commonality In Liquidity And Its Influence Factors,Evidence From Futures Market

Liquidity is one of the most important features in financial market and has drawn the attention of many researchers all along.Nowadays,with economic connections among different countries becoming closer than ever,studies of commonality in liquidity of stock index futures markets throughout the world is of great significance for international investors.Lots of literature show that studies abroad are mainly about commonality in liquidity between financial markets,mostly concentrated in the developed stock markets,but seldom studies concentrated in the derivatives markets and developing markets.Foreign research on liquidity measures are divided into four categories:price,trading volume,time,and combination of price and trading volume.Generally speaking,the combination of price and trading volume methods explain the liquidity measures are more comprehensively.The literature of studies abroad about influential factors of commonality in liquidity are divided into four categories namely,market microstructure,futures contracts design,characteristics of traders and macro environment,and their conduct path is analyzed,Seldom domestic literature show them.Seldom domestic literature show that commonality in liquidity between financial markets,the liquidity measures are mainly drawn from foreign research.This paper makes a theoretical and empirical study on the commonality in liquidity of stock index futures markets throughout the world and its influencing factors.This paper research commonality in global liquidity for 27 index futures,including US's SPX,India's NIFTY,South Africa's TOP 40 and other markets in American,European,Asian and African regions.Our markets includes emerging stock index futures markets and mature stock index futures markets.In order to prove the universality of existence of commonality of liquidity,we quote three liquidity measures,all of them belong the combination of price and trading volume methods,namely improved Amihud illiquidity ratio,Amihud illiquidity ratio,improved Amivest liquidity ratio.Our results report strong evidence of commonality in liquidity across most of our stock index futures markets except China's SHSN 300.We investigate the influential factors which affecting the liquidity of stock index futures markets like empirical effects,lagged effect and positive and negative returns to the asymmetric impact.We find that both the lagged effect and the positive and negative returns to the asymmetric impact have a significant influence on liquidity across most of our stock index futures markets,the empirical effects has not significant.