上海证券市场股票收益和流动性研究

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。

Stock Returns and Liquidity in Shanghai Security Exchange (SSE)

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 is illiquidity variable by the daily transaction data of Wind Information financial terminals,and the other one is from the Beijing CCER high frequency 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 th...