流动性的“周内效应”和“日内效应”——基于指令驱动市场的实证研究

Inter-and Intra-day Liquidity Patterns——An Empirical Study Based on the Electronic Order-driven Market

根据金融市场微观结构理论,运用高频数据对上海股市流动性的日内和周内变动趋势进行实证分析,结果表明,在上海股市中流动性存在着显著的“日内效应”和微弱的“周内效应”,而且当控制波动性、交易量和股价等对流动性有重要影响的变量时,这种效应仍然存在。在此基础上,深入分析了造成这一现象的原因,并且提出了相应的政策建议。

Based on the high frequency data from Shanghai stock market, the article investigates inter- and intra-day liquidity patterns in the light of the financial market microstructure theory. The findings show that there are marked Intra-day and insignificant Inter-day liquidity patterns in Shanghai stock market. And the liquidity patterns still exist when the variables which often influence the liquidity are under control, such as volatility, trade volume and price. In view of the aforementioned findings, the article probes into the underlying causes and proposes a tentative policy for perfecting the trade mechanism of Chinese stock market.