华北电力大学学报：社会科学版
華北電力大學學報：社會科學版
화북전력대학학보：사회과학판
Journal of North China Electric Power University(Social Sciences)
2014年
5期
22~27
,共null页
股指期货 流动性 交易成本
股指期貨 流動性 交易成本
고지기화 류동성 교역성본
stock index futures; liquidity; transaction cost
文章量化研究了我国股指期货市场流动性的指标,并建立衡量流动性的交易成本模型进行实证研究.结果表明：随着市场的发展,我国股指期货市场的流动性已经有了一定的提升,且不同的价格波动阶段,流动性具有不对称性,其中,在上涨阶段市场的流动性最高.最后,在实证研究的基础上提出了改善市场流动性的建议.
文章量化研究瞭我國股指期貨市場流動性的指標,併建立衡量流動性的交易成本模型進行實證研究.結果錶明：隨著市場的髮展,我國股指期貨市場的流動性已經有瞭一定的提升,且不同的價格波動階段,流動性具有不對稱性,其中,在上漲階段市場的流動性最高.最後,在實證研究的基礎上提齣瞭改善市場流動性的建議.
문장양화연구료아국고지기화시장류동성적지표,병건립형량류동성적교역성본모형진행실증연구.결과표명：수착시장적발전,아국고지기화시장적류동성이경유료일정적제승,차불동적개격파동계단,류동성구유불대칭성,기중,재상창계단시장적류동성최고.최후,재실증연구적기출상제출료개선시장류동성적건의.
This paper studied the liquidity indicators of Chinese Stock index futures market by quantitative method, and also comstructed the model of analyzing market＇s liquidity based on transaction cost to empirical analysising. The results showed that the liquidity of Chinese stock index futures market had promoted to a certain extent with the development of the market, and the liquidity had asymmetry in different price fluctuations. The liquidity of the market was highest in the price rising phase. Finally, it put forward suggestions of improving market liquidity on the basis of empirical studies.
