摘要
文章量化研究了我国股指期货市场流动性的指标,并建立衡量流动性的交易成本模型进行实证研究。结果表明:随着市场的发展,我国股指期货市场的流动性已经有了一定的提升,且不同的价格波动阶段,流动性具有不对称性,其中,在上涨阶段市场的流动性最高。最后,在实证研究的基础上提出了改善市场流动性的建议。
This paper studied the liquidity indicators of Chinese Stock index futures market by quantitative method, and also comstructed the model of analyzing market＇s liquidity based on transaction cost to empirical analysising. The results showed that the liquidity of Chinese stock index futures market had promoted to a certain extent with the development of the market, and the liquidity had asymmetry in different price fluctuations. The liquidity of the market was highest in the price rising phase. Finally, it put forward suggestions of improving market liquidity on the basis of empirical studies.
出处
《华北电力大学学报（社会科学版）》
2014年第5期22-27,共6页
Journal of North China Electric Power University(Social Sciences)
关键词
股指期货
流动性
交易成本
stock index futures
liquidity
transaction cost
