| B股向境内开放对A、B股流动性影响的分析 |
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| 引用本文： | 刘海龙,仲黎明,吴冲锋.B股向境内开放对A、B股流动性影响的分析[J].系统工程学报,2002,17(5):417-423. |
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| 作者姓名： | 刘海龙 仲黎明 吴冲锋 |
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| 作者单位： | 上海交通大学管理学院,上海,200052 |
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| 基金项目： | 国家自然科学基金资助项目 (70 173 0 3 1)，国家杰出青年科学基金资助项目 (70 0 2 5 3 0 3 ) |
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| 摘 要： | 首先介绍关于证券市场流动性的研究现状，然后，给出了报价驱动交易机制下流动性度量的各项指标的计算方法，具体包括深度，宽度，弹性和影响力，在此基础上，提出指令驱动机制下流动性度量的相应指标计算方法，最后，应用这种方法研究中国B股市场对境内投资者开放政策对各项流动性指标的影响，结果表明A股市场有关各项流动性指标与B股市场有关各项流动性指标具有相对独立性。
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| 关 键 词： | 流动性 A股 B股 弹性 证券市场 股票交易 |
| 文章编号： | 1000-5781(2002)05-0417-07 |
| 修稿时间： | 2001年6月15日 |
Analyses of allowing domestic investors to invest in B-share on influence of A-share and B-share liquidity |
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| LIU Hai long,ZHONG Li ming,WU Chong feng.Analyses of allowing domestic investors to invest in B-share on influence of A-share and B-share liquidity[J].Journal of Systems Engineering,2002,17(5):417-423. |
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| Authors: | LIU Hai long ZHONG Li ming WU Chong feng |
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| Abstract: | In the first place, the present researches situations for the securities markets liquidity are introduced. Then, computational algorithms for some indicators of the market liquidity with quota driven trading mechanism are given, which include depth, width, resiliency and impact. Based on these researches, computational algorithms for the corresponding indicators with order driven trading mechanism are put forward. Finally, we study the influence of the policy that CSRC (China Securities Regulatory Commission) allows domestic investors to invest in B share market on the liquidity indicators. The conclusion indicates that there are comparative independent relationship between the indicators of A share and those of B share. |
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| Keywords: | liquidity A share B share width depth resiliency impact |
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