上海股票市场流动性的度量与影响因素实证分析

Measurement and Effect Factors Empirical Research on Stock Liquidity in Shanghai Stock Exchange

首先分析了市场流动性的定义,给出了流动性指标的一种新的度量方法,然后,首次描绘了上海市场弹性和影响力的日走势图和分时特征图.最后,研究了交易量、股票价格、波动性和流通盘的大小与各项流动性指标的影响,通过对上海证券交易所的交易数据进行实证,表明上海证券市场,交易量、股票价格、波动性和流通盘的大小对流动性各项指标都有显著的解释能力;上海交易所存在“股本小的股票价格较高”的现象.

At first, based on the analysis of the definition for the securities markets liquidity, a new measure method for the securities market liquidity is proposed. Then, the intra-day temporal character and inter-day feature figures for resiliency and impact in ShangHai Market are depicted firstly. Finally the effects of trade volume, stock price level, volatility of return and size of circulation on market liquidity indices is explored, Empirical research results in ShangHai Stock Exchange have showed that these factors such as trade volume, stock price level, volatility of return and size of circulation can give significant explanation to different liquidity level.Meanwhile, there exists a phenomenon that the stock price with small circulation size is higher than the one with large circulation in ShangHai Stock Exchange.