Liquidity Of Stocks In Shang Hai Security Exchange With Level1 Data

Liquidity plays a critical role in the financial transaction. Meanwhile, as a special status variable, it can strongly exacerbate the behavior of the market participates and the variation of the price. In the view of traders, liquidity directly relate to the transaction cost. Besides, the regulators, through grasping market liquidity status, can timely make appropriate decisions, strengthen market risk prevention ability, and improve the operational efficiency of the market.This thesis uses the information of the limit order book and transaction data, on the Shanghai stock exchange, to analyze liquidity conditions. Our main purpose is to explore the state of liquidity in the market, through the analysis of the Level1 data of Shanghai stock exchange, and to build a liquidity index, keeping both rationality and ease of access to data.In the beginning, we carry out the review of existing literature in the domestic and oversea. Being data-oriented, this analyzing of the characteristics of the intraday transaction data, measure, and the methodology of index, guides the design of liquidity index, which actually includes the ratio of limit order, the interval time, the number of the trading and the transition probability. Combining with the idea behind the commonly used indicators, we get a new simplified liquidity indicator, which correlates the old index well. In the end, we sample some stocks and dates in 2014, which are mainly from the Internet, to calculate the corresponding liquidity index, also get a good result for the description.