Title :
An composite approach to measure stock liquidity in Chinese stock market
Author :
Wang, Ya-nan ; Wu, Qi-zong ; Liu, Feng
Author_Institution :
Sch. of Manage. & Econ., Beijing Inst. of Technol., Beijing, China
Abstract :
Liquidity is one of the basic characters of security market and has various aspects. Index based on microstructure theory measures only one or another character of liquidity. This paper defined the concept of liquidity, and then constructed a composite index. Our empirical study shows that the index is effective and predictive.
Keywords :
stock markets; Chinese stock market; composite index; microstructure theory; security market; stock liquidity; Correlation; Cybernetics; Indexes; Machine learning; Security; Stock markets; Indicator; Liquidity; Stock market; Stock price;
Conference_Titel :
Machine Learning and Cybernetics (ICMLC), 2010 International Conference on
Conference_Location :
Qingdao
Print_ISBN :
978-1-4244-6526-2
DOI :
10.1109/ICMLC.2010.5580631
