我国沪深证券市场流动性实证研究

流动性是一个市场的生命力所在。一个流动性好的市场才能很好的满足投资者的交易需求,减少投资者流动性风险是市场应该提供的功能之一。随着我国资本市场的逐步发展和成熟,投资者越来越注意到市场流动性的重要性。如何准确的界定流动性,如何用一系列的指标体系,来衡量一个市场的流动性,是理论界和市场投资者都很关注的问题。国内外对流动性的研究也很多,本文在借鉴前人研究成果的基础上,提出了自己对于流动性测量的一种观点,通过建立一个基于收益率和相对交易量基础之上的模型,来探讨关于市场流动性的问题。

Real Liquidity Research of Security Market of Shanghai and Shenzhen of China

Liquidity is the life of a market. A market with good liquidity could well meet investors' trade demand, reducing the risk of liquidity is one of the functions that the market should offer, as gradual development of the capital market of our country, investors notice the importance of liquidity more and more. How to accurate define liquidity and how to weigh it with a series of index system have been focused by the theory circle and investors. There have been much study about it whether in domestic or international, however, this article is new view of liquidity measurement, and it introduces the liquidity of market through setting up the model on the basis of earning ratio and relative trading volume.