中国股票市场系统流动性研究被引量：5

An Empirical Analysis of Systematic Liquidity In Chinese Stock Market

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摘要文章以上海证券交易所全部A股的日交易数据为样本,研究发现我国股市存在明显的系统流动性,且与发达市场相比,影响更显著;按样本股流通市值进行分组检验,发现2006年以前我国股市存在"倒U"形流动性规模效应,而随后的检验期内无明显规律可循;进一步对其影响因素的研究,发现系统流动性变化存在周内效应,市场风险、市场走势和长短期利差等都是重要的影响因素,并且随着时间的推移,其变化表现出更多的独立性。 This paper uses daily transaction data of all A- share stocks in Shanghai Stock Exchange to examine systematic liquidity, and finds that compared with New York Stock Exchange and Hong Kong Securities Exchange, Chinese stock market has more significant commonality in liquidity, and that the systematic liquidity shows an inverted ＂U shape＂ before 2006. Finally, we find that market risk, market behavior and yield spread are important factors that affect the systematic liquidity, and in recent years, the liquidity behaves more independent than before.

作者于鑫龚仰树

机构地区上海财经大学金融学院

出处《财经科学》 CSSCI 北大核心 2008年第4期30-36,共7页 Finance & Economics

基金上海财经大学211项目

关键词系统流动性市场微观结构规模效应 Systematic Liquidity Market MicroStructure Size Effect

分类号 F832.51 [经济管理—金融学]

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参考文献7

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