股票市场流动性价值研究——基于期权思想的一种解释  

The Study on Liquidity Value Added in Stock Market: An Explanation Based on Options Idea

作　　者：廖士光[1] 

机构地区：[1]上海证券交易所研究中心,上海200120

出　　处：《当代经济管理》2012年第4期86-89,共4页Contemporary Economic Management

摘　　要：流动性是证券资产与现金资产之间的相互转换能力。文章利用期权思想从变现与变券两个角度研究股票市场流动性的理论价值,研究结果表明,股票市场流动性存在价值;对于变现的流动性价值而言,它与股票预期出售价格以及股价波动性正相关;对于变券的流动性价值而言,它与股票预期购买价格负相关,而与股价波动性正相关。Liquidity is the conversion ability between security and cash. This paper discusses the theoretical value of liquidity in stock market from the aspects of turning security into cash and turning cash into security with the idea of options. The results suggest that the liquidity in stock market owns its value, and the value is positively correlated with predicted selling price and price volatility from the aspect of turning security into cash, while the value is negative correlated with predicted buying price and positive correlated with price volatility from the aspect of turning cash into security.

关 键 词：流动性 流动性价值 波动性 

分 类 号：F830.91[经济管理—金融学]