《B 股向境内开放对 A 、 B 股流动性影响的分析》.pdf

17 5 V ol. 17 N o . 5 2002 10 JOU RN A L OF SY ST E M S EN GIN EER IN G O c ., 2002 ¹ B A B 刘海龙, 仲黎明, 吴冲锋 ( , 200052) : 首先介绍关于证券市场流动性的研究现状; 然后, 给出报价驱动交易机制下流动性度 的各项指标的计 算方法, 具体包括深度、宽度、弹性和影响力, 在此基础上, 提出指令驱动机制下流动性度 的相应指标计算方 法; 最后, 应用这种方法研究中国B 股市场对境内投资者开放政策对各项流动性指标的影响, 结果表明A 股 市场有关各项流动性指标与 股市场有关各项流动性指标具有相对独立性. B : ; A ; B ; ; ; ; : F 830. 9: A : 1000 -578 1( 2002) 05-0417-07 Analyses of allowing domestic investors to invest in B-share on influence - - of A share and B share liquidity LIU Hai-long, ZHONG Li-ming, WU hong-feng ( School of Managem en , Shang hai Jiao ong Universi y, Shanghai 200052, China) Abstract: In he firs place, he presen researches si ua ions for he securi ies m arke s liquidi y are in roduced. T hen , com pu a ional algori hm s f or some indica ors of he marke liquidi y w i h quo a-driven rading mechanism are given , w hich include dep h, w id h, resiliency and im pac . Based on hese researches, compu a ional algori hm s for he corresponding indica ors w i h order- driven rading mechanism are pu f orw ard. Finally , w e s udy he influence of he policy ha CSRC ( China Securi ies Regula ory Commission) allow s domes ic inves ors o inves in B-share m arke on he liquidi y indica ors. T he conclu sion indica es ha here are compara iv e indepen- den rela ionship be ween he indica ors of A -share and hose of B-share. : ; - ; - ; ; ; ; Key words liquidi y A share B share w id h dep h resiliency impac 0 , 1987 1998 . [ 6]