摘要
采用买卖价差和市场深度代表股票流动性水平,根据Brockman&Chung模型分析了影响我国股市流动性的因素.研究发现,交易量与流动性正相关,股票价格及股票收益率的波动性与流动性呈负相关关系.但当流动性选取的指标不同时,股票价格对其影响也是存在差异的.
This paper used spread and depth to represent the level of China＇s stock market liquidity, and analyzed the factors impacting on China＇s stock market liquidity according to Brockman＆Chung model. The analysis shows that the trading volume positively relates with the level of liquidity, and stock price and volatility of stock returns are negatively correlated with the level of liquidity. However, when different index was chosen to represent liquidity, stock price impaction on liquidity was also different.
出处
《经济数学》
2012年第3期60-63,共4页
Journal of Quantitative Economics
关键词
石油行业
流动性
价差
深度
日内数据
oil industry
liquidity
spread
depth
high frequency data
