证券市场流动性的度量方法研究

本文认为,流动性是一个包括速度(交易时间)、紧度(交易成本)、深度(交易数量)、弹性的四维变量,它是证券市场的生命力所在,是实现证券收益的前提,但到目前为止,还没有形成统一的度量方法。然而,流动性的四个变量是相互作用的,在度量流动性时可能彼此存在冲突,在进行实证研究时,不同的流动性度量方法会导致相矛盾的结果。为此,本文在综合多种单只证券流动性的度量方法和市场总体流动性的度量方法的基础上,编制了一套统一的证券市场流动性指数,以便于对各个市场流动性历史变化进行纵向和横向的比较,同时也为研究市场流动性与收益率之间的关系提供了研究基础。

Research on Method to Measure the Liquidity of Securities Market

The author points out that liquidity is a four-dimensional variable. I t is the prerequisite for the realization of yield. But, until now, these measur ements have not yet been unified. The four dimensions are interacting with each other. So, in doing positive research, different measurements will lead to confl icting results. Based on integrating different kinds of measurements with each o ther, the author puts forward a set of unified indicators of the measurement of liquidity in security market. This set of indicators will facilitate study of ma rket liquidity and will lay a foundation for study on the relationship between m arket liquidity and yield ratio of this market.