Resilience in “Flash Events” in the Corn and Lean Hog Futures Markets
利用2014至2019年日内数据，研究玉米和瘦猪肉期货市场在闪崩事件中的流动性韧性，发现流动性并未变得脆弱，闪崩主要受基本面意外变化驱动。
The Commodity Futures Trading Commission (CFTC) recently identified large intra‐day price changes or “flash events” in continuously traded commodity futures markets. These flash events fueled discussion on whether futures markets are becoming less effective as human intervention is diminishing in favor of automated trading. Using intra‐day data, we examine liquidity resilience during “flash events” in corn and lean hog futures markets from 2014 to 2019. Overall, we find little evidence that the liquidity provision in these two markets relative to normal days becomes fragile when large price movements occur. Our analysis suggests that flash events are heavily influenced by unanticipated changes in fundamentals that may lead to a new equilibrium price. Liquidity dynamics during these events supports the view that active market making helps absorb the increased volume and stabilize markets.