| 证券市场流动性极限及其计量模型 |
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| 引用本文： | 陈启欢,杨朝军. 证券市场流动性极限及其计量模型[J]. 系统工程学报, 2005, 20(6): 635-638 |
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| 作者姓名： | 陈启欢 杨朝军 |
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| 作者单位： | 上海交通大学管理学院,上海,200030 |
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| 基金项目： | 自然科学基金资助项目（70373053）. |
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| 摘 要： | 传统理论分别使用“量”、“价”以及“时间”指标刻画市场流动性单方面特征，难以全面表示市场的真实流动性水平．为了全面地探讨市场流动性，将上述三因素综合构造三维流动性空间，提出了现实交易中流动性极限的概念．流动性极限从三个维度描述市场流动性状态，刻画市场的潜在最优交易能力．基于上述分析建立流动性极限的计量模型，实证表明流动性极限计量模型具有测量股票市场综合流动性的能力．
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| 关 键 词： | 流动性 计量模型 委托量 测度指标 |
| 文章编号： | 1000-5781（2005）06-0635-04 |
| 收稿时间： | 2004-06-21 |
| 修稿时间： | 2004-06-212004-11-10 |
Securities market liquidity limit and its econometrical model |
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| CHEN Qi-huan,YANG Chao-jun. Securities market liquidity limit and its econometrical model[J]. Journal of Systems Engineering, 2005, 20(6): 635-638 |
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| Authors: | CHEN Qi-huan YANG Chao-jun |
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| Affiliation: | Management School, Shanghai Jiaotong University, Shanghai 200030, China |
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| Abstract: | Securities market liquidity is usually described by volume element, price element and transaction element respectively. To study the market liquidity fully, three dimensions liquidity space is constructed by the above three elements, and a liquidity limit conception is prosented based on real condition. The liquidity limit describes market liquidity from above three dimensions, and describes the market potential transaction ability. Based on the above analysis, a liquidity limit econometrics model is constructed. It is demonstrated that hquidity limit econometrics model has the abihty to measure stock market synthetic liquidity. |
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| Keywords: | liquidity econometrical model order volume measure indicator |
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