摘要
本文采用买卖价差和交易深度的日内模式对中国股票市场进行研究,以此来考察市场的短期流动性。研究结果表明:沪深股市日内相对价差与日内交易深度呈相反的变化趋势;相对价差与股票价格和交易量呈负相关,与波动性正相关;深度与交易量呈正相关,与波动性负相关。流动性受股票价格的影响最大,受波动性的影响次之,受交易量的影响较小。鉴于中国股票市场整体流动性水平相对不足的实情,我们认为中国股票市场有必要从交易制度层面进行变革,提高信息透明度,加强市场监管,适当的降低交易成本,提升市场流动性水平。
This paper presents a study of the short-term liquidity in China stock market by using the bid-ask spread and depth of the days trading model.The results show that： the change of bid-ask spread and depth of trading was in the opposite trend in both Shanghai and Shenzhen stock markets;the relative spread is in a negative correlation with the stock price and trading volume,but in a positive correlation with the volatility;the depth of trading is positively correlated with the volume and negatively correlated with volatility.The liquidity was firstly impacted by the stock prices,followed by the volatility,and then by the trading volume.In terms of the fact that the overall liquidity of the stock market is relatively weak in China,we suggest that the Chinese stock market trading system should be reformed to improve the information transparency,strengthen the market supervision,reduce transaction costs appropriately,and enhance the level of liquidity.
出处
《北京交通大学学报（社会科学版）》
CSSCI
2011年第2期77-82,共6页
Journal of Beijing Jiaotong University(Social Sciences Edition)
基金
国家自然科学基金项目(70971009)资助
关键词
证券市场
流动性
微观市场结构
security market
liquidity
micro-market structure
