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Research On Measuring Methods Of Liquidity In Chinese Stock Market

Posted on:2006-06-26Degree:MasterType:Thesis
Country:ChinaCandidate:X L LvFull Text:PDF
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Measuring the liquidity of stock is very important, because the liquidity of stock is its life. With the development of microstructure theory of financial market, the research abroad on the measurement of the stock's liquidity is ripe day by day, but there are some deficiencies, so we need revise it. Domestic scholars' research on the measurement of stock's liquidity is more and more, but when we apply the existing measuring methods abroad to the domestic stock market, we need improve them further in order to adapt to the domestic order-driven trade system. The naissance and development of behavioral finance offers some new ideas for the development of traditional microstructure theory of financial market. So, the main works of the paper are as follows:Based on the model of noise trade, thinking of perceive bias and underreaction of noise trader, this paper constructs a new price-impact model, provides a new explanation of the relation of noise trader and stock's liquidity based on behavior finance, and describes concretely the influence of noise trader on stock's liquidity by setting parameters and doing some simulation.On the basis of price-impact model constructed, the paper studies the influence of noise trader's quantity change on stock's liquidity, and draws the conclusion that the greater the amount of noise trader is, the lower stock's liquidity is. Then, the paper simulates and analyzes it.According to the theoretical research, this paper adopts the method of combining volume and price to do some empirical analysis in Chinese Stock market and measure price-impact coefficient of sample stocks.
Keywords/Search Tags:Stock's Liquidity, Microstructure Theory of Financial Market, Behavioral Finance, The Price-impact Model, Noise Trader
PDF Full Text Request
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