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中文摘要：
本文充分利用我国限价指令驱动市场分笔数据所包含的信息。在交易量持续期的基础上，提出一个符合限价指令驱动市场特征的流动性指标，并从市场微观结构理论出发．选取了非对称信息的若干代理变量，分析非对称信息对市场流动性的影响程度。对万科A、B股的实证结果发现：（1）交易量持续期拥有信息含量，看涨行情会导致交易强度增大，看跌行情则导致较长的持续期。这反映了卖空限制的作用和投资者的追涨行为。（2）非对称信息是影响流动性水平的重要因素，投资者看法差异严重、价格剧烈波动以及长的交易量持续期导致市场流动性降低。
英文摘要：
This study proposes a new intra-day measure of market liquidity, which presents the tightness and immediacy of the limit order market corresponding to volume duration. We develop an asymmetric specification within the ACD framework that attempts to capture the asymmetric effect of good news and bad news on volume duration. Furthermore, asymmetric information model is employed to investigate the relation between informed trading and liquidity. By using Wanke A＆B ultra high frequency data, it is found that good-news-based trading will generally lead to increased trading intensity, while bad-news-based trading will generally contribute to longer durations. Asymmetric information effects market liquidity seriously. Illiquidity is always related to price volatility, wider opinion difference and longer duration.
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