JOURNAL OF BEIJING UNIVERSITY OF AERONAUTICS AND A ›› 2006, Vol. 19 ›› Issue (2): 5-8.

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Inter- and Intra-day Liquidity Patterns ——An Empirical Study Based on the Electronic Order-driven Market

HAN Dong1, WANG Chun-feng1, YUE Hui-yu2   

  1. 1. School of Management Tianjin University, Tianjin 30007;
    2. School of Law, Nankai University, Tianjin 300071, China
  • Received:2005-01-25 Online:2006-06-25 Published:2010-10-15

Abstract:

Based on the high frequency data from Shanghai stock market, the article investi gates inter- and intra-day liquidity patterns in the light of the financial ma rket microstructure theory. The findings show that there are marked Intra-day a nd insignificant Inter-day liquidity patterns in Shanghai stock market. And the liquidity patterns still exist when the variables which often influence the li quidity are under control, such as volatility, trade volume and price. In view o f the aforementioned findings, the article probes into the underlying causes and proposes a tentative policy for perfecting the trade mechanism of Chinese stoc k market.

Key words: microstructure, liquidity, intra-day pattern, inter-day pattern

CLC Number: