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基于分笔交易数据,使用多种流动性指标对B股市场的流动性特征进行了分析。研究发现相对价差是评估和描述B股市场流动性特征的最有效指标。同一家公司的A股股票比B股股票流动性更好。与市场相关的重大事件对市场流动性会产生较大影响。市场的流动性特征与波动性特征之间存在一定的内在联系。
Based on the sub-transaction data, using a variety of liquidity indicators on the B-share market liquidity characteristics were analyzed. The study found that relative spread is the most effective indicator for evaluating and describing the liquidity characteristics of the B-share market. A-shares of the same company have better liquidity than B-shares. Market-related major events have a greater impact on market liquidity. There is a certain intrinsic relationship between liquidity and volatility in the market.