Abstract: Based on exchange demand of organization investors,survey on 15 Chinese organization investors,and other data,this paper finds that Chinese liquidity level is higher than other major stock markets such as NYSE,and organization investors are satisfied with the Chinese general liquidity level.However,fluctuation rate of Chinese stock markets are high,and have unilateral Granger causal-effect relationship.For organization investors,the first problem is that the liquidity risk is too high and difficult to separate with price risk,rather than the liquidity level is too high or too low.

Key words: organization investor, liquidity, liquidity risk

摘要： 基于机构投资者的交易需求,结合对15家机构投资者的调研,通过实证数据发现:我国股市的流动性水平高于美国NYSE等世界其他主要证券市场,机构投资者一般对国内股市整体流动性水平比较满意。但是我国股市流动性波动率高,并且和市场回报率之间存在单向格兰杰因果关系。对机构投资者来说,当前我国股市主要的流动性问题不是流动性水平过高或过低的问题,而是流动性风险过高并难以和价格风险相分散。

关键词: 机构投资者, 流动性, 流动性风险