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- W2364687342 abstract "Liquidity is an important aspect for evaluating the efficiency and maturity of a financial market.Recent many financial institutes,investors and bureaus paid much attention to it.For futures market,liquidity seems more important.With good liquidity,traders may reduce transaction cost,and Futures may perform better in leading price discovery.Furthermore,good liquidity may free Futures Exchanges out of the credit crisis.Current research work mainly focused on the liquidity models for securities market.and research work on the futures market is mostly Empirical.Few is concerned with the liquidity and liquidity orisis modeling.We propose an enhanced Amivest liquidity ratio named E-Amivest.The model overcomes the disadvantage of Amivest model that overrates the function of market tightness.Furthermore,Volume Open-Interest Ratio(VOI ratio) is proposed based on E-Amivest and empirical study shows that the VOI ratio reveals the liquidity characteristics of futures market better than other models." @default.
- W2364687342 created "2016-06-24" @default.
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- W2364687342 date "2012-01-01" @default.
- W2364687342 modified "2023-09-26" @default.
- W2364687342 title "A Liquidity Model of Futures Contracts and Its Empirical Analysis" @default.
- W2364687342 hasPublicationYear "2012" @default.
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