2003M1dLl1cI|: 1000-6788( 2003) 01-0016-06ZE刘海龙, 仲黎明, 吴冲锋(ZYv5,Z200052)K1: ICiS$,Vg4BZE,54gFHBVIS.1oM: 7bT;g;rms|: F830. 9DSM: AAn Approach to the Measurement of Stock LiquidityLIU Hai-lo ng, ZHON G Li-ming , W U Chong -f eng( M anagement School, Shanghai Jiaotong University, Shanghai 200052, China)Abstract: Open-end funds require that the fund managers have the obligation of redemption, whichmakes it important for fund portfolios to have liquidity. Based upon the investigation of current methodsof measuring liquidity, this paper proposes a new way of measuring stock liquidity from the point ofview of market microstructure. The method provides a valuable reference for fund managers to selectportfolios.Key words: open-end fund; liquidity; market depth; effective liquidate speedl: 2001-06-08:SE1S( 7017331);SEMS( 70025303)Te:ZC( 1959- ) ,3,8g,pV,ZYvq,Z_17bT!T, 2001M325,TM1,7bT1p5Hs1pl,BZ,4ML|,6BZ,V5A,7bTL“O”,O?9Mv.yNiCB,BY$B.NNr4.gZE1- 5 ._( Tobin);4BIZE,TZ|r,ZV?TzS.7bT7,5H,|(gF)gMC?.In1pH,YVVQIn:n5,gFAKvC,iO1B1,eCNW1;Q,N(、SO)gFH,AInSOY,eSOW1;K,g,Wis,Y5SFH,AIn|4MCHB,eWs.1,WY911il.|ICiS$,Vg4BZE.2.dZE.dZE1,.%0Ng9,X9ZE),/4B9ZE.3BZE-gS9gH,LInBHg,g?Z,|gwy,-171ZE39EHW1,yV1.go9PmqY?,/B0,5,LF.L!A10KN7610. 50KNl,mq5% ;BKN1076KN10l,mq95% ;CKN1076KN10. 10l,mq95% .Tmq9,AM,7v/T9M.!p1 (t)VUWtKN,p2 (t)VUWtKN,hVUKlNM ,HgrEL (t)VVUEL(t ) = Q(t )M(t ) VR(t ) ( 5),oVR(t )VUVR(t ) =hp2(t ) ,fp1 (t ) = p2 (t )?3Hp1(t ) - p2(t )p2(t ) ,T( 5)49ZEr.vT( 5)9A1,B50,C5.T( 5)VmqQ(t )M(t )op1 (t) - p2 (t)p2(t)1.mq9f,ohf,mqv,olH,?v,Ql.YL,lQBlack ( 1971)Kyle ( 1985)SX,H9Ingo,?zQg,1Bg=7bh+,Nbh,7l,Xv,+i,gCBAh,H,gCBAH,9.6Bfv,N+vM,Hgz,Mv.yN,rVUBo?r,BoS=?,Kv,r?、z.4LSg2001M528,sYVgYV2aY350060,STPT#2001M510g,sY、-、mq、Yr9,9TnV2V3.表 2 2001年 5月 28日流通股超过 2亿的部分股票流动性计算结果Y-mq%Y%o%r%?ZA 139312. 48 1098. 81 17453. 60 0. 7887 0. 7976 2. 692