连续竞价市场个股流动性的度量方法、指标与模型被引量：5

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摘要基于金融市场微观结构理论,股票市场流动性具有宽度、深度、弹性和即时性等四维特性。由于中国股票市场采用的是连续性的竞价系统,因而对股票市场个股流动性的度量方法、指标和模型的确定,必须适合中国股票市场的特性。同时,对流动性的刻画不应局限在制度的研究上,对投资者行为的研究也是一个非常重要的方面。

作者孟卫东杨万里

机构地区重庆大学经济与工商管理学院

出处《当代财经》 CSSCI 北大核心 2006年第8期44-49,共6页 Contemporary Finance and Economics

关键词市场微观结构连续竞价流动性价格发现机制

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