中国股市流动性与波动性关系的实证研究

Empirical Research on the Relations between the Liquidity and Volatility of China's Stock Market

摘要: 介绍了基于市场微观结构理论下的流动性与波动性之间的关系,建立了关于流动性与收益率及流动性与波动性之间的实证模型。研究结果表明在中国股票的市场中流动性与波动性存在着一种正相关的关系,进一步揭示了中国股市的价格行为。

Abstract: This article introduces the relations between the liquidity and volatility based on the market microstructure theory,and it builds the empirical models to test the relations.The results show that there exist a positive relation between the liquidity and the volatility.At the same time these concludes disclose the behavior of the price further in China's stock market.