指令驱动市场的流动性成本及影响因素分析  

Liquidity Costs in an Order-Driven Market and the Factor Analysis

作　　者：穆启国[1] 刘海龙[1] 吴冲锋[1] 刘逖[2] 

机构地区：[1]上海交通大学安泰管理学院,上海200052 [2]上海证券交易所研究中心,上海200120

出　　处：《上海交通大学学报》2004年第3期321-325,共5页Journal of Shanghai Jiaotong University

基　　金：国家杰出青年科学基金项目资助(70025303);国家自然科学资金项目资助(70173031)

摘　　要：结合价格和申报数量,构建了指令驱动市场中股票流动性成本的事前测度方法,并采用上海证券市场的股票实时行情数据分析了流动性成本及影响因素.结论表明:上海股市的相对流动性成本呈"L"形曲线;随着股票价格、平均交易规模、波动性和非流通股所占总股本比例的增加,相对流动性成本逐渐增加;随着换手率的增加,相对流动性成本逐渐减少.This paper estimated a new measure of liquidity costs in an order-driven market. This measure of liquidity completely characterizes the cost of liquidity of any given asset. Using transactions data for a sample of stock in Shanghai Stock Exchange (SSE), this paper investigated intraday patterns and factors of the liquidity costs. It is found that the intraday liquidity costs follow an L-shaped pattern. The liquidity costs will increase with the stock price, average trade size, volatility and the proportion of illiquid shares while decrease with the turnover.

关 键 词：股票市场 流动性成本 指令驱动市场 买卖价差 

分 类 号：F830.91[经济管理—金融学]