上海证券市场股票收益和流动性研究

基金项目: 国家自然基金资助项目(70671006);全国优秀博士论文作者专项基金(200466)

详细信息

Stock Returns and Liquidity in Shanghai Security Exchange (SSE)

School of Economics and Management, Beijing University of Aeronautics and Astronautics, Beijing 100191, China

摘要: 选取2004年10月1日至2005年3月1日上证50成份股数据,采用Wind资讯金融终端日交易数据构造的非流动性代理变量与北京色诺芬CCER高频分笔交易数据得出的代理变量这两种方法, 度量股票市场的非流动性。研究结果表明,股票收益是非流动性代理变量的增函数,且第二种方法得出的结果更明确。实证结果还发现,股票市场不存在流动性波动风险溢价。
- 股票收益 /
- 流动性 /
- 交易额 /
- 风险溢价
Abstract: While selecting the data on SSE 50 index stocks from October 1, 2004 to March 1, 2005, uses two approaches to measure the illiquidity of the stock market: one i s illiquidity variable by the daily transaction data of Wind Informati on financial terminals, and the other one is from the Beijing CCER high frequenc y transaction data. Research shows that stock return is the increasing function of the illiquidity variable. The result from the second approach shows even more so. It was also discovered from the analysis that the risk premium from the liq uidity volatility does not exist in the stock market.
- stock return /
- liquidity /
- trade volume /
- risk premium

[1]	Amihud Y, Mendelson H. Asset Pricing and the Bid-ask Spread[J] . Journal of Financial Economics, 1986, 17(2).
[2]	Eleswarapu V R, Reinganium M. The Seasonal Behavior of the Liquidity Prem ium in Asset Pricing[J]. Journal of Financial Economics, 1993, 34(3): 373-386 .
[3]	Hu Shing-yang. The Effects of the Stock Transaction Tax on the Stock Ma rket-Experiences for Asian Markets[J]. Pacific Basin Finance Journal, 1998, 6 (3-4): 347-364.
[4]	Chordia T, Subrahmanyam A, Anshuman V R. Trading Activity and Expected St ock Returns[J]. Journal of Financial Economics, 2001, 59(1): 3-32.
[5]	Brennan M J, Chordia T, Subrahmanyam A. Alternative Factor Specifications , Security Characteristics and the Cross-section of Expected Stock Returns[J] . Journal of Financial Economics, 1998, 49(3):345-373.
[6]	Marshall B R, Young M R. Liquidity and Stock Returns in Pure Order Driven Markets: Evidence from the Australian Stock Market[J]. International Review o f Financial Analysis, 2003, 12(2): 173-188.
[7]	Kyle A S. Continuous Auctions and Insider Trading[J]. Econometrica, 19 85, 53:1315-1335.