摘要
以深圳证券交易所中小板股票市场的日交易数据为样本研究了中小板市场股票流动性的协动现象。研究发现在协动性的显著性方面,其显著性小于主板市场;在个股受协动性影响的程度方面,中小板市场受影响程度大于主板市场,且个股之间差异性显著。此外,对市场整体流动性的分析表明2008年中小板市场整体流动性有所减弱,2009年恢复上升。
With daily transaction data from Small and Medium-sized Enterprise（SME） board？in Shenzhen Stock Exchange,we examine Commodity Liquidity in China＇s newly built market——Small and Medium-sized Enterprise（SME） board.Empirical evidence shows that compared with main exchange market,the Commodity Liquidity is less significant in SME,but more sensitive to changes in market components,and it varies from shock to shock.We also find that the overall market liquidity in the year 2008 fell down but recovered in 2009.
出处
《经济问题》
CSSCI
北大核心
2010年第7期111-114,共4页
On Economic Problems
基金
2008国家级创新SIT项目"基于人员紧急疏散模型的散户规模行为研究"研究成果
关键词
流动性
协动性
中小板市场
股市微观结构
commodity liquidity
shock liquidity
small and medium-sized enterprise
market microstructure
