中国股票市场流动性的比较研究  

The Comparative Study on China’s stock market liquidity

作　　者：王聪[1] 唐静武[1] 

机构地区：[1]暨南大学经济学院,广东广州510632

出　　处：《南方金融》2009年第5期40-45,共6页South China Finance

基　　金：国家教育部全国优秀博士论文专项资金项目(项目编号:200403);广东省哲学社科基金项目(项目编号:07E21)的阶段性研究成果

摘　　要：本文根据股票买卖价差、有效价差、价格冲击指数、流动性指数、市场深度和大宗交易成本六个指标对中国股票市场流动性进行比较研究,研究表明:沪深两市的流动性均呈现出逐步改善的趋势。从流动性指数、市场深度及大宗交易成本上衡量,上海股市的流动性好于深圳股市,而从价格冲击指数及相对买卖价差衡量,深圳股市的流动性高于上海股市;与国际主要证券市场比较,沪深两市的流动性水平在新兴市场名列前茅,但低于全球平均水平。Based on the following 6 indexes including the bid-offer spread, the effective spread, the index of price impact, the liquidity index, the market depth and the trades costs of large scale, we make a comparative study on China＇s stock market liquidity and find out that the liquidity of the two stock markets in Shenzhen and Shanghai has been improving gradually. The result shows that from the aspect of market depth and the trade costs of large scale, the Shanghai stock market is better than that of Shenzhen. According to the index of price impact and the relative bid-offer spread, the Shenzhen market liquidity is higher than that of Shanghai. The liquidity of the two stock markets in China ranks high in developing countries, but is still below the average of international stock markets.

关 键 词：中国股票市场 流动性 比较研究 

分 类 号：F832.51[经济管理—金融学]