摘要
流动性是一个多维变量,因此要度量股票的流动性,必须采用一种多维的计量方法。以上证180指数成分股中的30只股票为研究样本,利用高频数据,运用主成分分析方法获得了一种新的流动性度量方法,该方法能够更好地描述中国股市的流动性。
Liquidity is a multi - dimensional variable, so we should use a multi - dimensional liquidity measure to estimate stock liquidity. In this paper, based on principal component analysis, we get a new liquidity measure by using high - frequency data. It can better measure stock liquidity.
出处
《财经理论与实践》
CSSCI
北大核心
2005年第6期49-52,共4页
The Theory and Practice of Finance and Economics
关键词
股票
流动性
主成分分析
Stock
Liquidity
Principal Component Analysis
