中国商品期货市场流动性风险度量实证研究
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摘要
期货市场流动性风险是学术界、监管机构和投资者关注的热点问题,本文检验了中国商品期货市场流动性特征,度量了中国商品期货市场内、外生流动性风险,主要创新工作如下:
1、对中国商品期货市场流动性风险度量进行了系统性研究,证实流动性风险是中国商品期货市场风险的重要组成部分,忽视它的存在会造成对风险的严重低估。本文在BDSS(2001)对流动性风险分类基础上,以买卖价差为分类依据,进一步细分外生流动性风险为有价差时和无价差时流动性风险。现有针对中国商品期货市场流动性风险度量的研究文献不多,本文通过界定期货市场流动性风险及期市内、外生流动性风险定义,对我国商品期货市场流动性特征及内、外生流动性风险度量进行了系统的研究。三大交易所九个样本商品,1,978,362条记录的检验、计算结果表明:中国商品期市存在系统的流动性风险,现阶段传统VaR显著低估了风险,期货市场特有的交易制度在流动性风险出现时将造成无法估量的损失。
2、从流动性分布、时间、协动以及成本特征四个方面,对中国商品期货市场流动性特征进行了实证检验。得到以下结论:中国商品期市流动性波动程度远大于期货价格;期市流动性存在显著的周内效应与协动现象;买卖价差可显著分解为信息不对称、指令处理及指令持续成分;信息不对称成分在日内呈现L形,指令处理成分呈U形,指令持续成分呈反L型。上述流动性特征的显著性检验表明,中国商品期市确实存在系统的、不可分散的流动性风险。
3、建立了中国商品期货市场外生流动性风险度量模型,计算结果支持估计VaR时需要考虑外生流动性风险的影响。构建了中国商品期货市场有价差时外生流动性风险VaR度量模型,用GARCH族模型及回归分析估计了相关参数,结果显示传统VaR模型平均低估风险2%左右,最大有价差风险为交易费用的3.8倍,有价差时外生流动性风险平均可占到期货投资者持仓成本的0.5%左右。其次通过相关假说检验,确定我国商品期市涨跌幅限制造成的延迟效应通常持续一天。调整涨(跌)幅限制前后的收益率,获得无价差外生流动性风险调整后的VaR估计值。两类调整后VaR值在预测准确程度、调整前后VaR值变化等方面都有明显改善。
4、构建了中国商品期货市场内生流动性风险度量模型,结果显示内生流动性风险不能忽略,否则将造成难以挽回的损失。首先建立了中国商品期市交易对价格冲击微观结构模型并测算出价格冲击系数。然后在期价服从几何布朗运动和线性价格冲击假设下,设计出考虑合约流动性、交易策略、头寸规模等因素的LrVaR模型,使用蒙特卡罗模拟得到不同参数设定下的LrVaR值,结果证实中国商品期货市场内生流动性风险不容忽视,低流动性组合95%置信水平下的LrVaR高出VaR 3.11倍,99%置信水平下的LrVaR也要高出VaR 2.29倍。
This dissertation tests the characteristics of liquidity and measures both the exogenous and the endogenous liquidity risk of Commodity Futures Markets in China since the liquidity risk has been a hot topic to the academe researchers,supervisory institution,and capital investors. The innovative points of the paper are as follows.
1.Investigates the magnitude of the liquidity risk on Chinese commodity futures market and confirms that the liquidity risk in china's commodity futures market is an important part of future risks,which can cause a serious underestimate of risk if their existence has been ignored. On the basis of classification of liquidity risk by BDSS(2001),the paper fractionizes exogenous liquidity risk into both exogenous liquidity risk which has a bid-ask spread and exogenous liquidity risk which hasn't a bid-ask spread.Considering the lack of measurement in liquidity risk on Chinese commodity futures market,the characteristics of futures market's liquidity and the measurement of both exogenous and endogenous liquidity risk have been researched by the numbers through the definition of commodity futures liquidity risk,both the exogenous and endogenous commodity futures liquidity risk.The result of the 1,978,362data which from nine future varieties of the three major exchanges show that: China's commodity futures market has systemic liquidity risk,and the immeasurable loss should happen when liquidity risk appears.
2.The Chinese commodity futures market liquidity characteristics has been empirical tested from the different perspectives of liquidity distribution,time characteristics,cost characteristics and the characteristics of co-movement.The following conclusions on Chinese commodity futures market are as follows:the mobility of liquidity is much larger than the degree of price volatility;the conspicuous role of liquidity weekday effect and liquidity commonality have been documented in Chinese commodity futures;the adverse selection component,the order processing component and the order persistence component have been analyzed from the bid-ask spread;the adverse selection component shows a L-shaped pattern and the order processing component shows a U-shaped pattern and the order persistence component shows a reverse L-shaped pattern during a day.Those empirical studies above show that liquidity risk is the systemic risk but not to diversify.
3.Establishing a metrical model of exogenous liquidity risk on Chinese commodity futures market,the results support that it is necessary for investor to consider the exogenous liquidity risk when estimate the VaR.After designing the VaR metrical model of the exogenous liquidity risk which has a bid-ask,and estimating the relevant parameters by a group model of GARCH and the method of regression analysis,final results show that the traditional metrical VaR model on Chinese futures commodity market underestimated the risk for about 2%,the maximal risk of the exogenous liquidity risk which has a bid-ask spread is 3.8 times higher compared with transaction costs and is approximate to 0.5% proportion of moneyman's own capital.
In the next place,based on testing of relevant hypotheses,the fact shows that the delay-effect of the price limit has one-day duration has been confirmed.Using the return data adjusted after the price limit,the paper then gained the VaR modulated by exogenous liquidity risk which hasn't a bid-ask spread.The ultimate results show that two types of the adjusted VaR have significantly improved both in the accuracy of the forecast and the changes between before and after adjustment.
4.Founding a metrical model of endogenous liquidity risk on Chinese commodity futures market,the results show that it would loss beyond retrieve when endogenous liquidity risk has been neglected,this segment of the paper firstly constructs the microstructure model of price impact under Chinese commodity futures market's order-driven mechanism,and then designs LrVaR model which considering effect of idiosyncratic factors such as the liquidity of futures contract,trading strategy,cash size,etc under the assumption both of Geometric Brownian Motion and the linear impact of the price.By using Monte Carlo simulation method,the outcome of LrVaR which under different parameters enactment approves that the LrVaR of Chinese futures commodity market can't be ignored and the low liquidity portfolio is 3.11 times higher than the traditional VaR at the 95%confidence level,and 2.29 times at the 99%confidence level.
1、对中国商品期货市场流动性风险度量进行了系统性研究,证实流动性风险是中国商品期货市场风险的重要组成部分,忽视它的存在会造成对风险的严重低估。本文在BDSS(2001)对流动性风险分类基础上,以买卖价差为分类依据,进一步细分外生流动性风险为有价差时和无价差时流动性风险。现有针对中国商品期货市场流动性风险度量的研究文献不多,本文通过界定期货市场流动性风险及期市内、外生流动性风险定义,对我国商品期货市场流动性特征及内、外生流动性风险度量进行了系统的研究。三大交易所九个样本商品,1,978,362条记录的检验、计算结果表明:中国商品期市存在系统的流动性风险,现阶段传统VaR显著低估了风险,期货市场特有的交易制度在流动性风险出现时将造成无法估量的损失。
2、从流动性分布、时间、协动以及成本特征四个方面,对中国商品期货市场流动性特征进行了实证检验。得到以下结论:中国商品期市流动性波动程度远大于期货价格;期市流动性存在显著的周内效应与协动现象;买卖价差可显著分解为信息不对称、指令处理及指令持续成分;信息不对称成分在日内呈现L形,指令处理成分呈U形,指令持续成分呈反L型。上述流动性特征的显著性检验表明,中国商品期市确实存在系统的、不可分散的流动性风险。
3、建立了中国商品期货市场外生流动性风险度量模型,计算结果支持估计VaR时需要考虑外生流动性风险的影响。构建了中国商品期货市场有价差时外生流动性风险VaR度量模型,用GARCH族模型及回归分析估计了相关参数,结果显示传统VaR模型平均低估风险2%左右,最大有价差风险为交易费用的3.8倍,有价差时外生流动性风险平均可占到期货投资者持仓成本的0.5%左右。其次通过相关假说检验,确定我国商品期市涨跌幅限制造成的延迟效应通常持续一天。调整涨(跌)幅限制前后的收益率,获得无价差外生流动性风险调整后的VaR估计值。两类调整后VaR值在预测准确程度、调整前后VaR值变化等方面都有明显改善。
4、构建了中国商品期货市场内生流动性风险度量模型,结果显示内生流动性风险不能忽略,否则将造成难以挽回的损失。首先建立了中国商品期市交易对价格冲击微观结构模型并测算出价格冲击系数。然后在期价服从几何布朗运动和线性价格冲击假设下,设计出考虑合约流动性、交易策略、头寸规模等因素的LrVaR模型,使用蒙特卡罗模拟得到不同参数设定下的LrVaR值,结果证实中国商品期货市场内生流动性风险不容忽视,低流动性组合95%置信水平下的LrVaR高出VaR 3.11倍,99%置信水平下的LrVaR也要高出VaR 2.29倍。
This dissertation tests the characteristics of liquidity and measures both the exogenous and the endogenous liquidity risk of Commodity Futures Markets in China since the liquidity risk has been a hot topic to the academe researchers,supervisory institution,and capital investors. The innovative points of the paper are as follows.
1.Investigates the magnitude of the liquidity risk on Chinese commodity futures market and confirms that the liquidity risk in china's commodity futures market is an important part of future risks,which can cause a serious underestimate of risk if their existence has been ignored. On the basis of classification of liquidity risk by BDSS(2001),the paper fractionizes exogenous liquidity risk into both exogenous liquidity risk which has a bid-ask spread and exogenous liquidity risk which hasn't a bid-ask spread.Considering the lack of measurement in liquidity risk on Chinese commodity futures market,the characteristics of futures market's liquidity and the measurement of both exogenous and endogenous liquidity risk have been researched by the numbers through the definition of commodity futures liquidity risk,both the exogenous and endogenous commodity futures liquidity risk.The result of the 1,978,362data which from nine future varieties of the three major exchanges show that: China's commodity futures market has systemic liquidity risk,and the immeasurable loss should happen when liquidity risk appears.
2.The Chinese commodity futures market liquidity characteristics has been empirical tested from the different perspectives of liquidity distribution,time characteristics,cost characteristics and the characteristics of co-movement.The following conclusions on Chinese commodity futures market are as follows:the mobility of liquidity is much larger than the degree of price volatility;the conspicuous role of liquidity weekday effect and liquidity commonality have been documented in Chinese commodity futures;the adverse selection component,the order processing component and the order persistence component have been analyzed from the bid-ask spread;the adverse selection component shows a L-shaped pattern and the order processing component shows a U-shaped pattern and the order persistence component shows a reverse L-shaped pattern during a day.Those empirical studies above show that liquidity risk is the systemic risk but not to diversify.
3.Establishing a metrical model of exogenous liquidity risk on Chinese commodity futures market,the results support that it is necessary for investor to consider the exogenous liquidity risk when estimate the VaR.After designing the VaR metrical model of the exogenous liquidity risk which has a bid-ask,and estimating the relevant parameters by a group model of GARCH and the method of regression analysis,final results show that the traditional metrical VaR model on Chinese futures commodity market underestimated the risk for about 2%,the maximal risk of the exogenous liquidity risk which has a bid-ask spread is 3.8 times higher compared with transaction costs and is approximate to 0.5% proportion of moneyman's own capital.
In the next place,based on testing of relevant hypotheses,the fact shows that the delay-effect of the price limit has one-day duration has been confirmed.Using the return data adjusted after the price limit,the paper then gained the VaR modulated by exogenous liquidity risk which hasn't a bid-ask spread.The ultimate results show that two types of the adjusted VaR have significantly improved both in the accuracy of the forecast and the changes between before and after adjustment.
4.Founding a metrical model of endogenous liquidity risk on Chinese commodity futures market,the results show that it would loss beyond retrieve when endogenous liquidity risk has been neglected,this segment of the paper firstly constructs the microstructure model of price impact under Chinese commodity futures market's order-driven mechanism,and then designs LrVaR model which considering effect of idiosyncratic factors such as the liquidity of futures contract,trading strategy,cash size,etc under the assumption both of Geometric Brownian Motion and the linear impact of the price.By using Monte Carlo simulation method,the outcome of LrVaR which under different parameters enactment approves that the LrVaR of Chinese futures commodity market can't be ignored and the low liquidity portfolio is 3.11 times higher than the traditional VaR at the 95%confidence level,and 2.29 times at the 99%confidence level.
引文
1刘海龙,仲黎明,证券市场流动性风险管理.上海:上海交通大学出版社.2006:2.
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