股票日内流动性度量及其风险调整——基于上海股票市场高频数据的实证研究  

Measuring of Stock Intraday Liquidity and its Risk Adjusting

作　　者：朱小斌[1] 江晓东[1] 

机构地区：[1]上海财经大学国际工商管理学院

出　　处：《上海管理科学》2005年第3期21-24,共4页Shanghai Management Science

摘　　要：流动性是股票市场的重要属性,但对流动性进行准确的定义和度量却是一件困难的事情。本文给出了股票流动性度量的三个指标,并对这些指标进行了风险调整。最后利用风险调整后的指标对上海股票市场的样本股票进行了截面相关分析,得出风险调整后的流动性指标逻辑关系更加紧密的结论。Liquidity is the important property of stock market, but defining and measuring liquidity is difficult. In this paper,we design three index and their risk-adjusting index to measuring stock Liquidity. Finally, we do cross-section analysis using these index, and draw a conclusion that risk-adjusting index has some good characteristic.

关 键 词：上海股票市场 风险调整 实证研究 高频数据 度量 股票流动性 流动性指标 相关分析 逻辑关系 

分 类 号：F832.5[经济管理—金融学] F830.59