金融市场研究

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1、1IntroductionMarketliquidityistheasset'sabilityofbeingsoldwithouttoomuchlossofassetsinareasonableprice,itisakindofrelationshipbetweentimescaleoftheinvestment(thedegreeofdifficultyofassetchangingintocash)andpricescales(thefairnesscomparedwiththemarketprice).Italsoreferstot

2、hestatethatthereisawiderangeofmarketparticipantswithsmalloffergapbetweenbuyersandsellers,beingconvenientfortransaction.MarketLiquidityisameasureofthemarketwhetherthestateisgoodornot(Datar2000).Marketliquidityisusuallyreferredtoliquidity.Therearefouraspectstoevaluatethemar

3、ketliquidity:(1)Tradingtime:theabilityofexecutingthetransactionatprevailingpriceinrealtime.Thewaitingtimebetweensubsequenttradesortheinverse,thenumberoftradespertimeunitaremeasuresfortradingtime.(2)Tightness:theabilitytobuyorselltheassetataroundthesamepriceandthesametime.

4、Itshowstheclearestwaythatthecostrelatedwithtransactingofimmediacy.(3)Depth:theabilitytobuyorsellacertainamountofassetwithoutchangeonthequotedprice.Asignofilliquidityisanadversemarketimpactfortheinvestorwhentrading.Marketdepthcanbemeasuredbytheaskandsellbidprice.(4)Resilie

5、ncy:theabilitytobuyorsellacertainamountofanassetwithlittlechangeonthequotedprice.2MeasurementsAstheliquidityisnotobservable,thus,itneedstobeevaluatedbydifferenttypeofliquiditymeasures.Arangeofliquiditymeasuresleadtoreliableresultsandthenevaluatingtheliquidityofthefinancia

6、lmarket.Theliquiditymeasuresaredividedintothreegroups:thevolumetraded,thetimebetweensubsequenttradesorthespread(Rico2004).(1)TurnoverOnesimplemeasureofmarketliquidityistomeasurethroughfrequencyoftrading.Morefi^equenttradingwouldcertainlymeanimprovedliquiditybutwithsuchani

7、ndicatoritisnotpossibletomeasureextentofliquidityamongfrequentlytradedshares-TurnoverhastobecalculatedforaspecifictimeintervaLAnexampleofturnoverinuseisthearticlebyBobbyLienandAndrewZurawski,"LiquidityintheAustralianTreasuryBondFuturesMarket".TheturnoverintheTreasurybondf

8、uturesmarketisaveragedfourtimesthatoftheASXSPI200futuresmarketinthepastfiveyears,whichisconsiste