中文摘要：

根据市场微观结构理论,以买卖价差为研究对象,基于上证180成分股中159支股票的高频数据,研究了股票价格、买卖价差的基本统计量,分析买卖价差的衡量指标性质。通过对上证180成分股高频数据的研究,运用对数ACD模型对上证180成分股进行参数估计,探寻买卖价差对股票市场流动性的影响,得出参数估计方程,说明买卖价差对流动性有显著的影响。

英文摘要：

According to market microstructure theory,taking bid-ask spread as the object,the basic statistics of stock price and bid-ask spread are studied based on SSE-159 indexes out of 180-stock high frequency data for analyzing the bid-ask spread features.Through the high frequency data of SSE-180 index,the parameters are estimated with ACD model for searching the influences of stock bid-ask spread on the stock market liquidity.The parameter estimation equations are get to explain the impacts are obvious.