With high frequency data and the market liquidity depth indicator VNET, the dynamic features and the determinative factors of market liquidity are studied, and the market microstructure theories are verified.

• 摘要使用超高频数据，并利用流动性深度指标，研究流动性的动态特征、影响因素以及检验市场微观结构理论，结果支持基于信息不对称下的市场微观结构理论。