ISSN 1008-2204
CN 11-3979/C

关于股市流动性的协动性 ——基于沪市的实证检验

On Liquidity Commonality of Stock Exchange: An Empirical Study Based on SHSE

  • 摘要: 以买卖报价差、报价深度、非流动性指标以及换手率作为流动性四维的替代指标,对 沪市流动性的协动性进行了实证研究。结果表明,沪市存在显著的流动性协动现象,且该现 象具有一定的规模效应。最后通过构造组合的方法进一步说明了中国股票市场中存在无法分 散的系统流动性风险。

     

    Abstract: The empirical study of substitute indicators of the four liquidity dim ensions, i.e. proportional quoted spread (PQSPR), quoted depth (DEP), ILLIQ and turnover (TURN), indicates the marked market wide commonality in liquidity, whic h is pervasive across size quintiles in SHSE. Moreover, the systematic liquidity risk, which cannot avoided by decentralization, is testified in the study.

     

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