Title: Empirical Study on Liquidity and Volatility in Chinese Stock Market
Abstract: In Chinese stock market where all the stock buying/selling actions have to be done via an order-commission system,the bid-ask spread is really a market spread and it reflects the immediate trading costs in transactions.Spread and depth are the two important liquidity indices.Analyzing both the Shanghai Shenzhen stock markets,it is found that in Chinese stock market the liquidity is relatively higher and volatility slightly lower than other countries.When comparing horizontally,it is shown that the liquidity in the two stock markets has no obvious difference,and the stock price volatilities in the two markets are much synchronized.It indicates that the homogeneity of investors' behavior makes the business operation of the two markets similar eventually.
Publication Year: 2006
Publication Date: 2006-01-01
Language: en
Type: article
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Cited By Count: 1
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