Designated market makers and agricultural futures market quality: Evidence from China's Dalian commodity exchange
利用玉米和豆粕期货的逐笔数据，研究中国交易所为不活跃合约招募指定做市商对市场质量的影响，发现该政策能提升不活跃合约质量且不干扰主力合约，对交易所和监管者有参考价值。
Abstract Many financial markets use designated market makers (DMMs), but the impacts of DMMs on agricultural futures markets – and in particular, how to arrange DMMs among contracts expiring in different months – are largely neglected. In 2017, Chinese exchanges started recruiting DMMs for inactive contracts when they become nearby contracts to address the discontinuous trading activity of nearest‐to‐maturity contracts, which enables us to study the benefit and cost of recruiting DMMs for inactive contracts using a quasi‐experimental framework. Leveraging tick‐by‐tick data on corn and soybean meal futures, we find that DMMs improve the market quality of inactive contracts without disrupting the market quality of dominant contracts. Heterogeneity analysis in policy settings suggests that more DMMs are conducive to improving market quality for corn and soybean meal futures. We demonstrate that DMM policy is a feasible measure to facilitate continuous activeness in Chinese agricultural futures markets. Our results are important for exchanges and regulators seeking to better design and implement designated market‐making programs in agricultural futures markets.