| 定单流、流动性与股票市场的投资转移 |
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| 引用本文： | 罗明华,田益祥,靳飞,李成刚.定单流、流动性与股票市场的投资转移[J].管理评论,2011(7). |
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| 作者姓名： | 罗明华 田益祥 靳飞 李成刚 |
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| 作者单位： | 电子科技大学经济与管理学院; |
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| 摘 要： | 本文通过分析我国股票市场上市值不同的股票之间定单流、流动性和收益率的相互影响关系,以及它们与上海银行间同业拆借利率(CHIBOR)、人民币远期汇率的关系,讨论了市场内不同股票之间的投资转移行为。实证结论发现:低市值股票定单流上升时,未来高市值股票流动性和收益率显著下降,市值不同的股票之间流动性和收益率也表现出显著的双向、负向领先滞后关系;银行间拆借利率、人民币汇率等影响宏观(货币)流动性的因素将显著影响市场微观流动性、定单流和收益率,但对市值不同的股票有不同的影响。本文提供了不同市值股票之间存在投资转移行为的证据。
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| 关 键 词： | 定单流 流动性 宏观因素 市场内投资转移 |
Order Flow,Liquidity and Flight on the Stock Market |
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| Luo Minghua,Tian Yixiang,Jin Fei , Li Chenggang.Order Flow,Liquidity and Flight on the Stock Market[J].Management Review,2011(7). |
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| Authors: | Luo Minghua Tian Yixiang Jin Fei Li Chenggang |
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| Institution: | Luo Minghua,Tian Yixiang,Jin Fei and Li Chenggang(School of Economics and Management,University of Electronic Science and Technology of China,Chengdu 610054) |
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| Abstract: | This paper examines within-market flight behavior in the Chinese stock market through analyzing relationship of order flow,liquidity and returns between stocks with different market size and their interaction with China Interbank Offered Rate(CHIBOR) and forward rate of Chinese Yuan(RMB).The empirical results show that a rise in order flow of low-size stocks will lead to a fall in returns and liquidity of high-size stocks.There is negative bidirectional lead-lag relationship of returns and liquidity of high... |
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| Keywords: | order flow liquidity macro-factors within-market flight |
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