Empirical research on the day-of-the-week liquidity patterns in Chinese Stock Index Futures market

Ye Qiang; Wang Xiao-Lin; Tong Wei-Min; Liu Wen-Cai; Kou Yi

doi:10.1109/ICMSE.2011.6070056

Empirical research on the day-of-the-week liquidity patterns in Chinese Stock Index Futures market

Ye Qiang^*
, Wang Xiao-Lin
, Tong Wei-Min
, Liu Wen-Cai
, Kou Yi

^*Corresponding author for this work

School of Management, Harbin Institute of Technology
China Financial Futures Exchange

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

Abstract

This paper examines the day-of-the-week liquidity effect of CSI300 Stock Index Futures. Empirical results show that the day-of-the-week liquidity pattern exhibits a reverse V-shaped for the CSI300 index futures. The regression analysis results consistent with previous analysis also demonstrate the day-of-the-week liquidity have statistically significant effect. Furthermore, this paper investigates the influencing factors to stock index futures liquidity and give some recommendations for the trading regime of Chinese Stock Index Futures market.

Original language	English
Title of host publication	2011 International Conference on Management Science and Engineering, ICMSE 2011 - 18th Annual Conference Proceedings
Pages	829-834
Number of pages	6
DOIs	https://doi.org/10.1109/ICMSE.2011.6070056
State	Published - 2011
Externally published	Yes
Event	2011 18th Annual International Conference on Management Science and Engineering, ICMSE 2011 - Rome, Italy Duration: 13 Sep 2011 → 15 Sep 2011

Publication series

Name	International Conference on Management Science and Engineering - Annual Conference Proceedings
ISSN (Print)	2155-1847

Conference

Conference	2011 18th Annual International Conference on Management Science and Engineering, ICMSE 2011
Country/Territory	Italy
City	Rome
Period	13/09/11 → 15/09/11

Keywords

Chinese stock index futures market
liquidity
the day-of-the-week pattern

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10.1109/ICMSE.2011.6070056

Cite this

Qiang, Y., Xiao-Lin, W., Wei-Min, T., Wen-Cai, L., & Yi, K. (2011). Empirical research on the day-of-the-week liquidity patterns in Chinese Stock Index Futures market. In 2011 International Conference on Management Science and Engineering, ICMSE 2011 - 18th Annual Conference Proceedings (pp. 829-834). Article 6070056 (International Conference on Management Science and Engineering - Annual Conference Proceedings). https://doi.org/10.1109/ICMSE.2011.6070056

Qiang, Ye ; Xiao-Lin, Wang ; Wei-Min, Tong et al. / Empirical research on the day-of-the-week liquidity patterns in Chinese Stock Index Futures market. 2011 International Conference on Management Science and Engineering, ICMSE 2011 - 18th Annual Conference Proceedings. 2011. pp. 829-834 (International Conference on Management Science and Engineering - Annual Conference Proceedings).

@inproceedings{356bda01b2b54a83a3633abfcf8f354e,

title = "Empirical research on the day-of-the-week liquidity patterns in Chinese Stock Index Futures market",

abstract = "This paper examines the day-of-the-week liquidity effect of CSI300 Stock Index Futures. Empirical results show that the day-of-the-week liquidity pattern exhibits a reverse V-shaped for the CSI300 index futures. The regression analysis results consistent with previous analysis also demonstrate the day-of-the-week liquidity have statistically significant effect. Furthermore, this paper investigates the influencing factors to stock index futures liquidity and give some recommendations for the trading regime of Chinese Stock Index Futures market.",

keywords = "Chinese stock index futures market, liquidity, the day-of-the-week pattern",

author = "Ye Qiang and Wang Xiao-Lin and Tong Wei-Min and Liu Wen-Cai and Kou Yi",

year = "2011",

doi = "10.1109/ICMSE.2011.6070056",

language = "英语",

isbn = "9781457718861",

series = "International Conference on Management Science and Engineering - Annual Conference Proceedings",

pages = "829--834",

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note = "2011 18th Annual International Conference on Management Science and Engineering, ICMSE 2011 ; Conference date: 13-09-2011 Through 15-09-2011",

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Qiang, Y, Xiao-Lin, W, Wei-Min, T, Wen-Cai, L & Yi, K 2011, Empirical research on the day-of-the-week liquidity patterns in Chinese Stock Index Futures market. in 2011 International Conference on Management Science and Engineering, ICMSE 2011 - 18th Annual Conference Proceedings., 6070056, International Conference on Management Science and Engineering - Annual Conference Proceedings, pp. 829-834, 2011 18th Annual International Conference on Management Science and Engineering, ICMSE 2011, Rome, Italy, 13/09/11. https://doi.org/10.1109/ICMSE.2011.6070056

Empirical research on the day-of-the-week liquidity patterns in Chinese Stock Index Futures market. / Qiang, Ye; Xiao-Lin, Wang; Wei-Min, Tong et al.
2011 International Conference on Management Science and Engineering, ICMSE 2011 - 18th Annual Conference Proceedings. 2011. p. 829-834 6070056 (International Conference on Management Science and Engineering - Annual Conference Proceedings).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

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AU - Qiang, Ye

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AU - Wei-Min, Tong

AU - Wen-Cai, Liu

AU - Yi, Kou

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N2 - This paper examines the day-of-the-week liquidity effect of CSI300 Stock Index Futures. Empirical results show that the day-of-the-week liquidity pattern exhibits a reverse V-shaped for the CSI300 index futures. The regression analysis results consistent with previous analysis also demonstrate the day-of-the-week liquidity have statistically significant effect. Furthermore, this paper investigates the influencing factors to stock index futures liquidity and give some recommendations for the trading regime of Chinese Stock Index Futures market.

AB - This paper examines the day-of-the-week liquidity effect of CSI300 Stock Index Futures. Empirical results show that the day-of-the-week liquidity pattern exhibits a reverse V-shaped for the CSI300 index futures. The regression analysis results consistent with previous analysis also demonstrate the day-of-the-week liquidity have statistically significant effect. Furthermore, this paper investigates the influencing factors to stock index futures liquidity and give some recommendations for the trading regime of Chinese Stock Index Futures market.

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KW - liquidity

KW - the day-of-the-week pattern

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DO - 10.1109/ICMSE.2011.6070056

M3 - 会议稿件

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ER -

Qiang Y, Xiao-Lin W, Wei-Min T, Wen-Cai L, Yi K. Empirical research on the day-of-the-week liquidity patterns in Chinese Stock Index Futures market. In 2011 International Conference on Management Science and Engineering, ICMSE 2011 - 18th Annual Conference Proceedings. 2011. p. 829-834. 6070056. (International Conference on Management Science and Engineering - Annual Conference Proceedings). doi: 10.1109/ICMSE.2011.6070056

Empirical research on the day-of-the-week liquidity patterns in Chinese Stock Index Futures market

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