Title :
The Measure of Liquidity in Futures Market
Author_Institution :
Bus. Sch., Central South Univ., Changsha
Abstract :
Based on the investigation of current methods of measuring liquidity, this paper designs a new way of measuring liquidity from the point of view of market microstructure liquidity index L. The empirical study of Chinese futures market by means of liquidity index L shows that the overall liquidity trend, distribution test, intraday liquidity characteristic and date due effects tally with the actual situation
Keywords :
commodity trading; socio-economic effects; statistical analysis; China; date due effect; distribution test; empirical study; futures market; intraday liquidity characteristic effect; liquidity index measurement; liquidity trend; market microstructure; Cities and towns; Consumer electronics; Contracts; Current measurement; Measurement standards; Microstructure; Testing; Time factors; Time measurement; Volume measurement; GARCH model; futures market; liquidity; liquidity index; market microstructure;
Conference_Titel :
Management of Innovation and Technology, 2006 IEEE International Conference on
Conference_Location :
Singapore, China
Print_ISBN :
1-4244-0147-X
Electronic_ISBN :
1-4244-0148-8
DOI :
10.1109/ICMIT.2006.262176
