摘要
本文以沪深两市股票为样本,检验中国这个订单驱动型新兴市场中系统流动性的存在,并与报价驱动型市场和订单驱动型成熟市场的实证结果作对照,发现与美国股市和香港股市相比,中国股票市场上存在着更为显著的系统流动性。此外,不同于香港股市的实证结果,中国股市个股流动性受系统流动性的影响比美国市场更大。
With data from Shanghai Stock Exchange, we examine systematic liquidity of Chinese stock market, which is an order-driven emerging market. In contrast to the results from quote-driven markets and matured markets, we find a more significant market component in individual stock's liquidity. We also find a negative relation between firm size and sensitivity to changes in market components on the Chinese stock market,which is very different from the American and Hong Kong market.
关键词
系统流动性
市场微观结构
买卖价差
报价深度
commonality in liquidity
market microstructure
bid-ask spred
quote depth
