摘要
采用指标体系的方法,研究中国股票市场的流动性。基于价差和深度的短期流动性研究表明,深度与价差成相反的变化模式,投资者通过调整价差和深度来提供流动性。基于换手率和修正后的马丁指数的长期流动性研究表明,沪深股市的流动性指标存在相关性,具有较强的联动性。其原因在于两个市场处于相同的经济环境及监管制度,且投资者具有同质性。
The article studies completely the liquidity of China stock market with the method of index system, including short-term liquidity study and long-term liquidity study. The short-term liquidity study is to analyze the short-term liquidity and its affecting factors by analyzing the intraday pattern of spread and depth and their affecting factors. The long-term liquidity study mainly analyzes the movement characteristics of year liquidity in Shanghai and Shenzhen stock market, also their diversity and linkage between them, with the method of index system consisting of tureover rate and Martine index.
出处
《南方经济》
北大核心
2006年第2期71-79,共9页
South China Journal of Economics
基金
国家自然科学基金(70371062)。
关键词
流动性
价差
深度
换手率
马丁指数
Liquidity
Spread
Depth
Turnover rate
Martine index
