ISSN 1008-2204
CN 11-3979/C
巩兰杰. 流动性与波动性动态关系研究[J]. 北京航空航天大学学报社会科学版, 2009, 22(2): 14-16.
引用本文: 巩兰杰. 流动性与波动性动态关系研究[J]. 北京航空航天大学学报社会科学版, 2009, 22(2): 14-16.
GONG Lan-jie. Research on the Relationship between Liquidity and Volatility[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2009, 22(2): 14-16.
Citation: GONG Lan-jie. Research on the Relationship between Liquidity and Volatility[J]. Journal of Beijing University of Aeronautics and Astronautics Social Sciences Edition, 2009, 22(2): 14-16.

流动性与波动性动态关系研究

Research on the Relationship between Liquidity and Volatility

  • 摘要: 基于超高频数据建立了久期、价差和波动性的联立动态模型,并研究了流动性指标和波动性的关系。结果表明,度量流动性的交易速度和交易成本与市场波动性有显著的相互影响。因此,管理层应该控制交易成本,防止市场过分波动,使市场达到流动性充分和价格稳定的有序状态。

     

    Abstract: This paper establishes a model of duration, spread and volatility based on irreg ular time series to find out the relationship between liquidity and volatility. The result suggests that the two measurements of transaction frequency and trans action cost for liquidity and volatility interact significantly. So the manageme nt should reduce the transaction costs to prevent extreme volatility, supply eno ugh liquidity and keep the price stable.

     

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