个股系统流动性风险与预期回报:基于套利定价模型的检验

发布时间：2018-01-07 05:02

本文关键词：个股系统流动性风险与预期回报:基于套利定价模型的检验　出处：《当代财经》2010年03期 　论文类型：期刊论文

【摘要】：个股流动性变化与市场总体流动性变化的敏感程度是个股系统流动性风险。基于中国股市1994-2007年的日间交易数据,运用套利定价模型来检验个股系统流动性风险与其预期回报之间的关系后,发现中国个股系统流动性风险与预期回报之间呈现负相关关系,且这种负相关关系主要表现在市场总体流动性水平较低时以及规模较大的证券上。这一发现明显有悖于个股系统流动性风险应该获得风险溢价的标准金融模型推断,且支持了中国股市存在非流动性的财富效应。
[Abstract]:The sensitivity of individual stock liquidity change and market overall liquidity change is the liquidity risk of individual stock system. Based on the day trading data of Chinese stock market from 1994 to 2007. After using arbitrage pricing model to test the relationship between liquidity risk and expected return of individual stock system, it is found that there is a negative correlation between liquidity risk and expected return of individual stock system in China. The negative correlation is mainly reflected in the low overall liquidity level of the market and the larger securities. This finding is obviously contrary to the standard financial model that individual stock system liquidity risk should receive risk premium. Broken. It also supports the existence of illiquid wealth effect in Chinese stock market.
【作者单位】：对外经济贸易大学金融学院;华中科技大学经济学院;
【基金】：国家自然科学基金资助项目(70971114) 对外经济贸易大学“211”三期资助项目(73300037)
【分类号】：F224;F832.51
【正文快照】： 一、引言自Amihud和Mendelson(1986)的开创性工作以来,[1]金融资产流动性与其预期回报之间的关系研究,一直是金融经济学研究的基本问题。研究文献发现,个股流动性风险影响个股的预期回报。目前普遍接受的观点认为,金融资产的流动性存在时变特征,且主要来自于跨资产的总体流动

【参考文献】