摘要
对中国证券市场独特的连续竞价交易制度流动性问题进行了理论分析 ,设计了中国证券市场日内流动性的 3个重要实证指标 .研究结果表明 ,中国证券市场日内流动性逐时增加 ;市场深度指标较之市场宽度指标更有价值 ;
Based upon solid theoretical analysis of the unique liquidity problems in Chinese order driven system stock market, this paper designed three important intraday liquidity indices. The empirical research shows that: intraday liquidity increases with the time; depth index is more valuable than width index; liquidity is positively correlated with the value of stock price.
出处
《上海交通大学学报》
EI
CAS
CSCD
北大核心
2003年第4期589-592,共4页
Journal of Shanghai Jiaotong University
基金
国家自然科学基金资助项目 ( 70 0 73 0 17)
