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《Communication of Finance and Accounting(Academy)》 2008-05
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Analysis of Intraday Liquidity Effect of China's Stock Market——The Measuring,Characteristic and Influencing Factors of Liquidity on High Frequency Data

Liu Hengyu(Finance and Economics School,Shanghai University,Shanghai 200433)  
This paper summarizes the measuring methods and measuring models of stock market liquidity.By absorbing idea of Amivest liquidity ratio,the paper choices different scale and different price securities as examples,,and designs trading price sensitivity to trading volume as a measuring index of liquidity,to analysises intraday trading characters and influencing factors of liquidity.By researching,we find that: price varying of intraday presents "L" figure,and volume varying of intraday presents "E" figure,not traditionary "L" or "U" figure;trading partern of intraday、scale and price are influencing factors of liuidity;liquidity is weeker in abnorma time than normal time of intraday;liquidity is stronger in large scale securities than small scale securities;liquidity is weeker in high price securities than low price securities.
【CateGory Index】: F832.51;F224
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