交易时间视角下的中国股市流动性问题

Study on Liquidity of Stock Market of China Based on Transaction Time

交易过程中的时间因素是重要的信息揭示变量。在价格久期基础上,引入了新的流动性衡量指标VNET,对上海股市流动性测量和影响因素进行了深入探讨。选择了2005年9月1日至2006年12月30日作为样本时段,选取上证50指数前20只最大流通股在样本期间内的分笔交易数据作为实证研究对象。实证结果表明,我国证券市场交易过程中的各种非对称信息严重的影响着市场的流动性变化。

Time is one of important variables disclosing asymmetry information during the process of trade. On the basis of auto - regression conditional duration model, VNET, a new liquidity measure mean, is introduced and the liquidity characteristics and influence factors of shanghai stock market are researched deeply utilizing price duration concept to measure the time factor. Trading data of 20 stocks in Shanghai Stock Exchange Index between the Sep, 1, 2005 and Dec, 30, 2006 are selected. The experiential result shows that the change of liquidity of the market is effected by asymmetry information during the trading process in China stock market and lag effect, time effect and transaction effect of liquidity measured by VNET variable are disclosed for the first time, which are the unique characteristics in China.