中国股票市场的"不流动性溢价"现象研究

为了解释中国股票市场出现的“不流动性溢价”现象,根据金融经济学的基本理论:所有承担了系统性金融风险的风险厌恶投资者都要求获得超额的收益。假定收益—风险时间序列服从某个包含流动性补偿的GARCH-M模型;实证检验结果表明理论假设合理,即:股票的超额回报包含不流动性补偿,预期的不流动性与未来市场超额回报正相关,而未预期的不流动性与当期的市场超额回报负相关。

The Study of the Phenomena of Illiquidity Premium in Chinese Stock Market

To explain the phenomena of "illiquidity premium" in Chinese stock market,this paper suggests an assumption that the return-risk series is subject to the GARCH-M model which contains liquidity adjustment by making a theoretical analysis.Empirical evidence shows that the hypothesis is reasonable: stock excess return contains illiquidity adjustment,expected market illiquidity positively affects stock excess return in the future,and also stock excess return is negatively related to the contemporaneous unexpected illiquidity.