【文章题目】Maximum order size and market quality: Evidence from a natural experiment in commodity futures markets

【文章摘要】我们利用2018年在美国玉米和大豆跨期交易期货市场上所实施的增加最大订单量的举措作为一个准自然实验，来研究订单下达和执行的限制、价格波动以及市场流动性的限制之间的关联。研究显示2500手的旧的最大订单量对交易需求有一定限制。在交易所将最大订单量增加四倍后，最佳买卖盘深度显著增加。在相对稳定的波动中，买卖价差变窄，大宗交易的价格影响减小。总的来说，我们发现在最大订单和交易规模增加后，市场质量可以得到改善。

We exploit a 2018 exchange-mandated increase of the maximum order size in some—but, crucially, not all—U.S. agricultural futures markets, to link exogenous constraints on order placement and execution, price volatility, and market liquidity. The old maximum size of 2,500 contracts was binding: demand exists for placing and executing much larger orders. Limit-order book depth at the best bid and ask increases dramatically after the exchange quadruples the maximum order size. Amid relatively stable volatility, bid-ask spreads narrow, and the price impact of large trades falls. In sum, we find that market quality can improve after an increase in maximum order and trade size.

【关键词】订单量限制，流动性，市场波动，粮油期货市场

【文章作者】彭琨，胡哲鹏，Michel Robe

【作者单位】S&P Global，中国农业大学，美国期货交易委员会

【发表期刊】Journal of Futures Markets

【基金资助】国家自然科学基金青年项目(No. 72203213)

【全文下载】Journal of Futures Markets - 2024 - Peng - Maximum order size and market quality  Evidence from a natural experiment in.pdf