摘要
本文研究了交易量、收益率的波动、股票价格等因素对流动性指标 (价差和深度 )的影响 ,发现在上海证券市场 ,交易量、收益率的波动和股票价格对流动性指标都有显著的解释能力。并通过对指令流进行买卖方向分类研究 ,发现交易者在不同的指令方向上选择的指令类型是不同的。
This paper aims to explore the effects of stock price, trade volume, and volatility on market liquidity. Empirical research results in Shanghai Stock Exchange have showed that the factors such as trade volume, stock price level and volatility of return can give significant explanation to different liquidity level. Moreover, after breaking down the order flow according to buy/sell direction, this article finds that investors tend to choose different order type (market order or limited order) when buying or selling stocks, which can explains why buying volume and well volume have different impact on market depth.
出处
《金融研究》
CSSCI
北大核心
2002年第6期12-21,共10页
Journal of Financial Research
