股票流动性与资产流动性的相关性——理论与实证分析

发布时间：2018-08-08 18:06

【摘要】：从公司财务的视角探讨资产流动性对股票流动性的影响:一方面,资产的流动性越高,现有资产的不确定性就越低,因而股票的流动性越好;另一方面,高的资产流动性也会带来投资机会的增加,导致未来现金流的不确定性增大,从而降低股票的流动性.因此,理论上资产流动性与股票流动性间存在不确定性.基于中国证券市场的结构特征,首先从理论上探讨了资产流动性与股票流动性间的相关性及其作用机理,以及不确定性的产生根源;其次,以A股上市公司为样本,实证分析了资产流动性与股票流动性间的相关性.结果表明:在我国证券市场中股票流动性与资产流动性显著正相关,资产的流动性越高,股票的流动性也越好.进一步,小规模、低成长型和融资受限的公司,二者间的正相关性更强.研究结果对正确评价企业投融资决策、资产定价和股票的流动性、流动性风险均具有一定的参考价值.
[Abstract]:This paper discusses the influence of asset liquidity on stock liquidity from the perspective of corporate finance. On the one hand, the higher the liquidity of assets, the lower the uncertainty of existing assets, and the better the liquidity of stocks; on the other hand, High liquidity also leads to increased investment opportunities and greater uncertainty about future cash flows, which reduces the liquidity of stocks. Therefore, there is uncertainty between asset liquidity and stock liquidity in theory. Based on the structural characteristics of China's securities market, the correlation between asset liquidity and stock liquidity and its mechanism of action, as well as the origin of uncertainty, are discussed theoretically. Secondly, A share listed companies are taken as samples. Empirical analysis of the relationship between asset liquidity and stock liquidity. The results show that there is a significant positive correlation between stock liquidity and asset liquidity in China's securities market, and the higher the liquidity of assets, the better the liquidity of stocks. Further, small, low-growth and limited financing firms are more positively correlated. The research results have certain reference value for the correct evaluation of investment and financing decision, asset pricing, stock liquidity and liquidity risk.
【作者单位】：西南交通大学经济管理学院;
【基金】：国家自然科学基金(70971110) 教育部人文社科规划基金(09YJA790169);教育部长江学者和创新团队发展计划(IRT0860)
【分类号】：F832.51;F224

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