东北大学学报（自然科学版）

东北大学学报(自然科学版) ›› 2006, Vol. 27 ›› Issue (9): 1042-1045.DOI: -

• 论著 • 上一篇    下一篇

中国股票市场的流动性与波动性实证研究

王健;庄新田;   

  1. 东北大学工商管理学院;东北大学工商管理学院 辽宁沈阳110004;辽宁沈阳110004
  • 收稿日期:2013-06-23 修回日期:2013-06-23 出版日期:2006-09-15 发布日期:2013-06-23
  • 通讯作者: Wang, J.
  • 作者简介:-
  • 基金资助:
    国家自然科学基金资助项目(70371062)

Empirical study on liquidity and volatility in Chinese stock market

Wang, Jian (1); Zhuang, Xin-Tian (1)   

  1. (1) School of Business Administration, Northeastern University, Shenyang 110004, China
  • Received:2013-06-23 Revised:2013-06-23 Online:2006-09-15 Published:2013-06-23
  • Contact: Wang, J.
  • About author:-
  • Supported by:
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摘要： 通过对中国股票市场流动性指标和波动性指标的分析,发现市场具有较高的流动性,市场波动程度略低于其他国家的股票市场.从上海股市和深圳股市的横向比较来看,近年来两个市场的流动性没有显著的差异,两市波动序列的吻合程度非常高,波动具有很强的同步性,表明在相同市场制度环境下,市场参与者行为的同质性最终决定了两市运行特征的相似性.

关键词: 股票市场, 流动性, 波动性, 市场质量, 交易机制

Abstract: In Chinese stock market where all the stock buying/selling actions have to be done via an order-commission system, the bid-ask spread is really a market spread and it reflects the immediate trading costs in transactions. Spread and depth are the two important liquidity indices. Analyzing both the Shanghai and Shenzhen stock markets, it is found that in Chinese stock market the liquidity is relatively higher and volatility slightly lower than other countries. When comparing horizontally, it is shown that the liquidity in the two stock markets has no obvious difference, and the stock price volatilities in the two markets are much synchronized. It indicates that the homogeneity of investors' behavior makes the business operation of the two markets similar eventually.

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