Distribution characteristics of stock market liquidity

被引：7

作者：

Luo, Jiawen ^{[1
,2
]}

Chen, Langnan ^{[1
,2
]}

Liu, Hao ^{[3
]}

机构：

[1] Sun Yat Sen Univ, Lingnan Coll Univ, Guangzhou 510275, Guangdong, Peoples R China

[2] Sun Yat Sen Univ, Inst Econ, Guangzhou 510275, Guangdong, Peoples R China

[3] Guangfa Bank, Guangzhou 510000, Guangdong, Peoples R China

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2013年 / 392卷 / 23期

关键词：

Liquidity; GAMLSS model; BCPE distribution; Non-parameter cubic splines regression; GAIC; MODEL; DEPTH;

D O I：

10.1016/j.physa.2013.07.046

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

We examine the distribution characteristics of stock market liquidity by employing the generalized additive models for location, scale and shape (GAMLSS) model and three-minute frequency data from Chinese stock markets. We find that the BCPE distribution within the GAMLSS framework fits the distributions of stock market liquidity well with the diagnosis test. We also find that the stock market index exhibits a significant impact on the distributions of stock market liquidity. The stock market liquidity usually exhibits a positive skewness, but a normal distribution at a low level of stock market index and a high-peak and fat-tail shape at a high level of stock market index. (C) 2013 Elsevier B.V. All rights reserved.

引用

页码：6004 / 6014

页数：11

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