The paper constructs a new index of the market liquidity of the stock index futures based on “price -scale” and “time-scale”, and investigates the co-movement effect between stock index spot liquidity and stock index futures market liquidity by using spectrum analysis from the perspective of cyclicality. The empirical analysis is conducted by using the daily data of CSI 300 stock index and its futures from May 2010 to July 2016. The single spectrum analysis shows that the main cycle of the stock market liquidity lasts over one month than stock index futures market liquidity while their minor cycles are very close. Meanwhile, the co-spectrum analysis reveals that there exist some structural differences between these two market liquidity types around Sept. 2015. The cycle synchronization has turned from weak to strong. The mutual sensitivity has turned from unilateral to bilateral and its effect has become enhanced. The lag-leading time becomes significantly shorter. Therefore, the regulatory policies have a dramatic impact on the cyclical co-movement between the two market liquidity types.
姚登宝. 股指期货、现货市场流动性之间的周期联动效应[J]. 浙江工商大学学报, 2019, 33(2): 89-100.
YAO Dengbao. Cyclical Co-movement Effect of Market Liquidity between Stock Index Spot and Its Futures. Journal of Zhejing Gongshang University, 2019, 33(2): 89-100.