Measurement and Effect Factors Empirical Research on Stock Liquidity in Shanghai Stock Exchange
上海股票市场流动性的度量与影响因素实证分析

At first,based on the analysis of the definition for the securities markets liquidity,a new measure method for the securities market liquidity is proposed.Then,the intra-day temporal character and inter-day feature figures for resiliency and impact in ShangHai Market are depicted firstly.Finally the effects of trade volume,stock price level,volatility of return and size of circulation on market liquidity indices is explored,Empirical research results in ShangHai Stock Exchange have showed that these factors such as trade volume,stock price level,volatility of return and size of circulation can give significant explanation to different liquidity level.Meanwhile,there exists a phenomenon that the stock price with small circulation size is higher than the one with large circulation in ShangHai Stock Exchange.