量化专题报告：交易所交返政策的影响分析（下）-20240119-华泰期货-23页_805kb

报告摘要

Event Overview

On January 5, 2024, exchanges including Shanghai International Energy Exchange, Dalian Commodity Exchange, Zhengzhou Commodity Exchange, and China Financial Futures Exchange announced adjustments to exchange and return mechanisms, reducing transaction and holding fees by specific percentages. Transaction fees returned 30%, and holding fees reduced by 10%, excluding "specific program trading reported customers."

Market Macro Impact

Trading volume showed a pattern of decline followed by increase.
Holding volume and value consistently decreased.
Turnover rate initially fell but rebounded post-policy.
Key affected commodities include aluminum, soybean oil, polyethylene, benzene ethylene, and others, based on position sensitivity.

Market Micro Impact

Micro volatility increased for benzene ethylene, glass, iron ore, and PTA.
Liquidity worsened, with widened bid-ask spreads and effective spreads.
Flow differentiation observed; benzene ethylene and PTA experienced reduced liquidity, while glass and iron ore showed improvement.

Strategy Impacts

High-frequency strategies, such as order imbalance and trend strategies, faced increased slippage, particularly in benzene ethylene and PTA, raising transaction costs.
Slippage increases were evident post-policy but partially reversed for some strategies over time.

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