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| Research on Composite Index of Liquidity in Security Market |
| YANG Chao-jun，ZHANG Zhi-peng，LIAO Shi-guang |
| （Antai College of Economics & Management, Shanghai Jiaotong University, Shanghai 200052, China） |
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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.
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Received: 15 November 2007
Published: 28 November 2008
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Corresponding Authors:
YANG Chao-jun
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