Research Article
Ultrahigh Frequency Data Liquidity Duration Estimation: A Case Study of Chinese A Shares
Table 3
Shares’ volume descriptive statistics.
| | Share | Sample number | Average volume | Largest volume | Smallest volume | Standard deviation | Dispersion rate |
| | SH600048 | 268,341 | 12,742.38 | 6,715,600 | 1 | 60,106.01 | 4.717 | | SH600383 | 260,533 | 14,818.45 | 6,077,500 | 1 | 61,808.38 | 4.171 | | SH600247 | 124,563 | 8,447.463 | 1,128,700 | 1 | 29,537.40 | 3.496 |
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