| 中国股市流动性溢价稳定性研究 |
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| 引用本文： | 佟孟华. 中国股市流动性溢价稳定性研究[J]. 辽宁工程技术大学学报(社会科学版), 2006, 8(5): 468-470 |
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| 作者姓名： | 佟孟华 |
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| 作者单位： | 东北财经大学,数量经济系,辽宁,大连,116025 |
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| 摘 要： | 根据股票市场流动性溢价理论,考虑不同政策和重大事件以及不同市场态势两种情况,采用换手率作为流动性指标,以1998年1月至2004年12月间沪深300指数为样本,利用平行数据模型对股票流动性溢价的稳定性进行实证检验。研究结果表明:对于各股数据,在上述两种情况下,换手率对预期收益都具有负向作用,说明中国股市流动性溢价现象一直存在,但稳定性较弱。
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| 关 键 词： | 流动性溢价 预期收益率 换手率 |
| 文章编号： | 1008-391X(2006)05-0468-03 |
| 修稿时间： | 2006-07-17 |
A steady level study of liquidity premium in China''''s stock market |
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| TONG Meng-hua. A steady level study of liquidity premium in China''''s stock market[J]. Journal of Liaoning Technical University(Social Science Edition), 2006, 8(5): 468-470 |
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| Authors: | TONG Meng-hua |
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| Abstract: | According to stock market liquidity premium theory,selecting turnover ratio to measure stock liquidity,using panel data regression method,this paper makes an empirical study on liquidity premium's stability about 300 index sample shares in China's stock market from two views of different policy or event and different marketable situation during 1998:01-2004:12.The thesis reaches some conclusions such as :According to the two points above,the relationship between turnover ratio and expected return about every share in China's stock market is negative,showing liquidity premiums exist in China's stock market,but stability about liquidity premiums is weak. |
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| Keywords: | liquidity premium expected return turnover ratio |
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