中文摘要：

文章利用我国主板和中小板市场数据研究股市流动性与宏观经济之间的影响机制。首先通过构建非流动性指标，发现股票市场流动性与宏观经济运行状态有较强的相关性；然后构建机制转换条件异方差模型，发现股票市场流动性体制转换特性与宏观经济景气度存在较好的对应关系；最后构建股市流动性与宏观经济的向量自回归模型。研究结果表明：中小板股票市场流动性能很好地预测宏观经济的波动，但主板市场预测宏观经济景气度时并不显著。

英文摘要：

The paper examines the mutual effect mecbanism between the stock market liquidity and macro eeonomy by the data of the Main-Board Market and the Small and Medium-Sized Board. Firstly, the paper constructs liquidity measurements anti finds that there is a strong correlation between the stock market liquidity and macro economy. Secondly, the paper develops a switching ARCH model （SWARCH） and the result shows that the regime switching of the stock market liquidity anti macroeconomie have a correspondent relationship. Finally, the paper develops a vector autoregress （VAR） model between stock market liquidity and macro economy, and the results show that the Small and Medium-Sized Board＇s liquidity can predict the maeroeconomic fluctuations in advance, whereas the Main-Board Market liquidity can＇ t predict the macro- economic fluctuations in advance.