证券市场流动性研究述评

Comment on the Study of Security Market Liquidity

本文主要评述了国外研究证券市场流动性的理论与方法。综述了市场流动性的定义、影响市场流动性的主要因素和流动性度量方法;分析了基于存货模型和信息模型以价差分析为主的做市商市场流动性研究和指令驱动市场流动性研究;比较了不同市场的流动性;分析了流动性对收益率和波动性的影响。

This paper mainly comments on the main theories and approaches of the study of security market liquidity.With the summarization of the definition of market liquidity,main factors which influence market liquidity,and market liquidity measures,the paper analyzes both the study of dealer market liquidity which gives priority to spreads based on inventory model and information model and the study of order driven market liquidity.And the liquidity of different markets is compared.Moreover,the paper analyzes the effects of liquidity on return and volatility.