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可转换公司债券市场流动性衡量的维度效应 被引量:1

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摘要 基于我国可转换公司债券市场日交易数据的实证研究发现,市场流动性衡量存在显著的维度效应,不同维度的信息重叠不大,买卖价差、交易量和交易间隔时间等单维度衡量指标提供的市场流动性信息有限,价格变化自协方差和价格冲击等多维度衡量指标比单维度衡量指标能够更全面地衡量市场流动性状况。
作者 闵晓平 朱强
出处 《武汉金融》 北大核心 2013年第7期30-32,15,共4页 Wuhan Finance
基金 国家自然科学基金<基于水平和风险双重效应的公司债券流动性溢价研究>(项目批准号:71161012)资助
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参考文献11

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二级参考文献22

同被引文献36

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