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

被引：0
|
作者：
Feng Jin [1 ]
Zheng Xiaodan [1 ]
机构：
[1] Harbin Inst Technol, Sch Management, Harbin 150001, Peoples R China
来源：
PROCEEDINGS OF THE 3RD (2011) INTERNATIONAL CONFERENCE ON FINANCIAL RISK AND CORPORATE FINANCE MANAGEMENT, VOLS 1 AND 2 | 2011年
关键词：
CSI; 300; index; Chinese stock market; liquidity; paired sample test;
D O I：
暂无
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
This article takes CSI 300 index's 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.
引用
收藏
页码：75 / 79
页数：5
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