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.
杨朝军，张志鹏，廖士光. 证券市场流动性综合测度指标研究[J]. 上海交通大学学报（自然版）, .
YANG Chao-jun，ZHANG Zhi-peng，LIAO Shi-guang. Research on Composite Index of Liquidity in Security Market. J. Shanghai Jiaotong Univ.(Sci.) , 2008, 42(11): 1767-1771.
