流动性衡量及对资产定价的影响研究述评  

The Review on the Measurement of Liquidity and Impact on Pricing of Assets

作　　者：尹海员[1] 李忠民[1] 

机构地区：[1]陕西师范大学国际商学院

出　　处：《经济与管理研究》2011年第8期65-72,共8页Research on Economics and Management

基　　金：教育部人文社会科学青年基金"基于行为分析的我国证券市场监管研究"(06JC790027);陕西师范大学211工程第三期建设项目资助

摘　　要：流动性一般被认为是市场执行交易的能力,这种能力表现为交易的便利性和交易对价格冲击的最小化。对于流动性的衡量有基于买卖价差的方法、流动比率的方法、交易对价格的冲击的方法等等,许多文献在衡量流动性水平的基础上,就流动性对资产定价的影响进行了理论和实证研究,本文系统总结了这些代表性的模型和研究成果。最后本文认为应该在参考国外成熟理论的基础上,深入研究适合我国资本市场的流动性衡量方法、内在规律和对价格的作用机制。Liquidity generally is considered the ability of trade in market, this kind of ability is shown as convenience of the trade and minimization to the price impact of the trade. The methods of measurement of liquidity are base on several topics, such as bid -ask spread, liquidity ratio, trade impact on the price, etc. Literatures have carried on research ofthe impact on assets pricing on the basis of the measurement method of liquidity, the paper has recommended the forming of these representative models and introduced the remarkable conclusion in detail. Also the paper deems that because of the difference in the mechanisms and information system of different market,we should investigate liquidity measurement method, inherent law and function mechanism suiting of China capital market.

关 键 词：证券市场 流动性 资产定价 

分 类 号：F830.91[经济管理—金融学]