The Effects of CSI 300 Futures on Chinese Stock Markets Liquidity－－Empirical Study Based on Modified Martin Index

摘要：

This article takes CSI 300 indexs daily transaction data as study objects, and use modified Martin index to measure the change of liquidity in Chinese stock market. By using event analysis and related econometric model, the empirical analysis shows that the liquidity of the stock market has changed a lot. The conclusion is that after stock index futures was issued, the liquidity of Spot market declined in short-term.

关键词： CSI 300 index Chinese stock market liquidity paired sample test

作者: FENG Jin ZHENG Xiaodan

作者单位: School of Management, Harbin Institute of Technology, Harbin, China, 150001

会议类型: 国际会议

会议名称: The 3rd (2011) International Conference on Financial Risk and Corporate Finance Management(第三届(2011)金融风险与公司金融国际研讨会FRCFM 2011)

会议地点: 大连

会议语种:英文

页码: 75-79

在线出版日期: 2011-06-30（万方平台首次上网日期，不代表论文的发表时间）