上海证券市场流动性模式的研究

The Research of Liquidity Mode in Security Exchange of Shanghai

本文运用高频数据对上海股票市场流动性的日内和周内变化模式进行了实证研究,同时从市场微观结构理论出发分析了这种流动性模式的形成原因。在此基础上,建立了回归模型,实证研究了影响上海股市流动性的影响因素,结果表明上海股市流动性确实存在着明显的周内和日内变化模式,从而揭示了我国股票市场在流动性方面的微观结构特征。

Based on the high frequency data, we empirically study the intradaily and weekday effect of the liquidity in Security Exchange of Shanghai and analyze the reason leading to the mode.We set up a regression model and research the factors to affect the liquidity in SESH.The result exhibits that the distinct intradaily and weekday mode of the liquidity in SESH certainly exits and discloses the market microstructure characteristic of the liquidity of the stock market in China.