| Liquidity is the important attribute of security market, is the wishes that the traders buy or sell stocks because of certain kind reason. When market participator valuate its financial product and manage its investment portfolio, or when security supervise department carries out its related policy, Liquidity have been usually supposed exist fully. However, it is unfortunate, the fragile essence of Liquidity often displays in front of us with the form of violent change. For instance, in the markert collapse of 1987 as well as the financial crisises of Asia and Russia in a few years ago, Liquidity disappears suddenly on the stock market of a lot of country and area, has brought serious negative influence to entire financial system and even the steady operation of global economy. We carry out the theoretical research for Liquidity in continuous auction market and the empirical study using China Hu-Shen stock exchanges' trade data in this dissertation. They divide into 5 chapters, each chapter's major content is as follows:hi chapter one, we give the brief description of Liquidity problem. First, we discuss the background of Liquidity problem, the Liquidity's concept and intension, and the purpose of this research. Then, we give a review of domestic and foreign literature of Liquidity research. Finally, we point out some limitations of domestic and foreign Liquidity research, give the framwork of our research and some innovation in this dissertation.In chapter two, we study the form and offer mechanism of stock Liquidity,and build some theoretical model. First, we interpret some words such as the peculiarity and commonality of Liquidity, Liquidity value, Liquidity risk, and market information structure. Then we point out that market microstructure is the important factor affecting price forms, the price of security market form is decided by market participator's game process in asymmetrical information, and establish a price decision model of continuous auction market. Finally, we build a Liquidity supply and demand model of the continuous auction market.In chapter three, we discuss multiple attribute and measure method of Liquidity. Liquidity is a multiple concept, it can be divided into Market Liquidity, Portoflio Liquidity and Individual Liquidity in lateral, and long-term Liquidity, mid-term Liquidity and short-term Liquidity in longitudinal. Furthermore, Liquidity is relative,dynamic concept. After defined the "three measure dimensionality of Liquidity", we create the Liquidity uniform measure(Lz) and three accessorial measure using monte carlo simulation.In chapter four, we carry out empirical research for market Liquidity of China Hu-Shen stock exchange. First, we analyze the long-term Liquidity of market. Our result show that Liquidity of A share market is more strong than B share market, Liquidity of B share market enhance apparently after opens to domestic investor, Liquidity of Hu-Shen market have no "moothly effect". Then using daily trade data for market mid-term Liquidity, we discover that Liquidity of A share market have apparently "weekly effect", and former influence of trading variable for current Liquidity is more strong than current trading variable. Finally, using the 5 minutes intraday data for measuring the market short-term Liquidity, we discover that the Liquidity of A share market have the reverse "L" sharp, intraday spead have the straight "L" sharp, volatility of retain also have the straight "L" sharp, but intraday volume have the "U" sharp.In chapter five, we carry out empirical research for individual and portfolio Liquidity of China Hu-Shen stock exchange. First, using daily trade data, we measure the mid-term Liquidity of individual stock, and carry out cross-section analysis for it. We discover individual Liquidity do not have notable discrepancy in different area,sector and size, but the interactive factor of sector and size have notable influence in individual Liquidity. Then using the 5 minutes intraday data for measuring the individual short-term Liquidity,...
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