中国股市日内流动性效应分析——基于高频数据的流动性度量、特征及其影响因素  

Analysis of Intraday Liquidity Effect of China's Stock Market——The Measuring,Characteristic and Influencing Factors of Liquidity on High Frequency Data

作　　者：刘衡郁[1] 

机构地区：[1]上海财经大学金融学院,上海200433

出　　处：《财会通讯（学术版）》2008年第5期11-15,共5页Communication of Finance and Accounting

摘　　要：本文归纳了流动性刻画维度和度量指标,选取不同规模和价位股票的高频数据作样本,吸收Amivest流动性比率计算原理,设定价格对交易量变动的敏感性为流动性度量指标,分析股票日内交易特征和流动性影响因素。结果发现:日内模式价格变动呈仰卧"F"形,交易量呈仰卧"E"形,而非传统的"L"或"U"型;日内交易模式、股票规模和股票价位均影响着股票流动性;日内模式异动时间内,股票流动性差;大规模股票流动性强;高价股流动性差。This paper summarizes the measuring methods and measuring models of stock market liquidity.By absorbing idea of Amivest liquidity ratio,the paper choices different scale and different price securities as examples,,and designs trading price sensitivity to trading volume as a measuring index of liquidity,to analysises intraday trading characters and influencing factors of liquidity.By researching,we find that: price varying of intraday presents 'L' figure,and volume varying of intraday presents 'E' figure,not traditionary 'L' or 'U' figure;trading partern of intraday、scale and price are influencing factors of liuidity;liquidity is weeker in abnorma time than normal time of intraday;liquidity is stronger in large scale securities than small scale securities;liquidity is weeker in high price securities than low price securities.

关 键 词：流动性 高频数据 日内交易模式 

分 类 号：F832.51[经济管理—金融学] F224