中国股票市场流动性:过高还是过低——一个国际比较视角的分析

Liquidity of China's Stock Market:Too Much or Too Little?——An Analysis of an Internationally comparative Visual Angle

现有中国证券市场流动性方面的研究在评价中国证券市场 (尤其是股票市场 )流动性水平问题上分歧相当严重。本文从国际比较的视角出发 ,利用波动性调整后的换手率指标对中国上海证券交易所、深圳股票交易所和纽约股票交易所的流动性水平进行度量。结论表明 ,中国股票市场流动性在一定程度上优于NYSE市场 ,同时 ,剧烈的市场波动对市场流动性造成了损害。

Serious divergency has existed in evaluating the liquidity level of China's securities market (esp. of the stock market). Starting from the visual angle of the international comparison and taking advantage of the switch rate index after the adjustment of fluctuation, the paper measures the liquidity level of Shanghai Securities Exchange, Shenzhen Stock Exchange and New York Stock Exchange. Which shows that the liquidity of China's stock exchanges is, to a certain extent, better than that of NYSE. Meanwhile, severe market fluctuations have brought about damage to the market liquidity.