基于VNET的我国股票市场流动性影响因素研究

A Study of Factor Impact on Chinese Stock Market Liquidity Based on VNET

流动性是股票市场的生命力,也是影响股票市场参与者交易行为的重要因素。基于VNET影响参数模型对我国股票市场的流动性影响因素进行研究。从上证50指数和深证成指选取20只股票作为样本,选取2010年7月1日至2010年8月31日作为样本时段。实证结果表明,VNET序列能够很好地衡量我国股票市场的流动性,而且VNET影响因素模型能够很好地分析流动性影响因素。

As the life of stock market, liquidity is also an important fator which impact the market participants＇transactions. This paper is aim to a- nalysis of the factors Impact on Chinese Stock Market Liquidity based on VNET. The sample stocks are choose from the Shanghai 50 index and the Shenzhen index. The sample time is between July 1 and April 31. The empirical results is the VNET time series can measure the liquidity of Chi- nese stock market well and the VNET model can analysis of the factors Impact on Chinese Stock Market Liquidity well.