The Panel Data Analysis of the Liquidity Impact Cost and the Determinants in Chinese A-Share Market

摘要：

We construct a market impact cost proxy which reflects market breadth and market depth to measure the liquidity in Chinese A-share market, and based on this proxy, we use high frequency trading data and panel data analysis method to study the relationship between the determinants and the market impact cost.

关键词： Market Impact Cost Liquidity Determinants Panel Data

作者: Ren Da Shi Yu

作者单位: School of Management, Tianjin University, Tianjin, P.R.China, 300072

会议类型: 国际会议

会议名称: The 15th International Conference on Industrial Engineering and Engineering Management(IE&EM2008)(第十五届工业工程与工程管理国际学术会议暨中国机械工程学会第11次工业工程年会)

会议地点: 郑州

会议语种:英文

在线出版日期: 2008-09-20（万方平台首次上网日期，不代表论文的发表时间）