Microstructures, Price Dominance, and Liquidity Measurement of Spot and Futures Markets

現貨與期貨市場的微觀結構、優格優勢、和流動性測量

劉曦敏(Shi-Miin Liu) ； 陳孝琪(Hsiao-Chi Chen)

《財務金融學刊》 14卷4期 (2006/12) Pp. 59-109

https://doi.org/10.6545/JFS.2006.14(4).3

摘要

本文利用一個市場微觀結構模型來分析均衡的期貨與現貨價格的聯立決定及其演化行程，同時探討投機人、避險人、和搶帽客的最通行為，及各種交易者的特徵對均衡價格與對期貨－現貨的領先－落後關係的影響。對照Garbade and Silber（1983）的非市場微觀結構模型和一些微觀結構的研究，本文的發現遠較它們豐碩。此外，我們提出了單一市場和多市場兩種同時測量期貨與現貨市場流動性的指標，後者因比前者多了一項以反映跨市場的流動性效果，所以是較好的指標。

關鍵字

優格優勢 ； 市場流動性 ； 現貨 ； 避險人 ； 搶帽客

並列摘要

This paper analyzes the joint determination and evolution processes of equilibrium futures and spot prices using a market-microstructure model. Optimal behaviors of speculators, hedgers, and scalpers, as well as the impact of traders' characteristics on equilibrium prices and on futures-and-spot's lead-lag relationships are also investigated. Compared to Garbade and Silber's (1983) non-market-microstructure and some microstructure studies, our results are much more abundant. Moreover, both single- and multi-market indices are proposed to measure liquidity in the futures and spot markets simultaneously. The latter are superior to the former because an additional term to reflect cross-market effects on liquidity measurement is included.

並列關鍵字

price dominance ； market liquidity ； futures ； spot ； hedgers ； scalpers