Sentiment‐dependent impact of funding liquidity shocks on futures market liquidity
研究了资金流动性变化对期货市场流动性的影响，发现经济情绪是关键因素：负面冲击后流动性改善，且不同交易者（个人、国内机构、外国人、银行和养老基金）的反应因情绪而异。
Abstract We examine the effect of funding liquidity changes on futures market liquidity, depending on economic sentiment. Futures market liquidity improves following negative funding liquidity shocks, and economic sentiment is an important determinant explaining this relationship. While individuals' trading is most significantly affected by sentiment, its response to funding liquidity shocks remains independent of sentiment effects. Domestic institutions' reactions depend on the sentiment regime; they trade futures contracts more actively as funding liquidity becomes more abundant (scarcer) when sentiment is more pessimistic (optimistic). Foreigners, following negative funding liquidity shocks, generally increase their futures trading, whereas their trading decreases under the extremely pessimistic sentiment. Domestic banks and pension funds provide liquidity to the futures market even when sentiment is pessimistic.