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

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.