中文摘要：

本文首先利用流动性综合测度指标，将证券交易数量、证券流动性水平及证券市场流动性水平引入到证券价格函数中，构建了证券价格差异的流动性模型，从流动性角度探讨证券价格溢价问题，在理论上证明了证券流动性价值的存在性。随后，本文利用A、B股股票实证分析证券流动性价值，实证结果表明，股票流动性水平与股票市场流动性水平可以解释A、B股价格差异，中国股票市场存在流动性价值，流动性价值受股票流动性水平、股票市场流动性水平以及股票交易数量影响。

英文摘要：

This paper designs the liquidity compound measure, and then constructs the liquidity model on securities price difference with such variable as trading volume, securities liquidity and securities market liquidity. The theoretical analysis shows that the price difference can be explained by liquidity difference and the liquidity value added does exist. Then the paper discusses the liquidity value added with the A and B share, and the result suggests that stock liquidity and stock market liquidity can explain the A and B share price difference, which also means that liquidity value added exists in China＇ s stock market, and liquidity value added is affected by the stock liquidity, stock market liquidity and trading volume.