Empirical research on the day-of-the-week liquidity patterns in Chinese Stock Index Futures market

This paper examines the day-of-the-week liquidity effect of CSI300 Stock Index Futures. Empirical results show that the day-of-the-week liquidity pattern exhibits a reverse V-shaped for the CSI300 index futures. The regression analysis results consistent with previous analysis also demonstrate the day-of-the-week liquidity have statistically significant effect. Furthermore, this paper investigates the influencing factors to stock index futures liquidity and give some recommendations for the trading regime of Chinese Stock Index Futures market.