中国股市收益率与流动性指标之间的关联分析
发布时间：2018-07-24 18:16
【摘要】：股票市场的流动性和收益之间的关系一直以来都受到了学术界的广泛关注。在本文当中,我们通过Spearman相关系数和VAR模型的方法对我国股票市场的收益率和主要流动性指标进行了相关性分析。结果发现,我们所选取的几种流动性指标和收益率之间都存在着一定的因果关系,也就是说我国股市存在流动性溢价。
[Abstract]:The relationship between stock market liquidity and returns has been widely concerned by academia. In this paper, we use Spearman correlation coefficient and VAR model to analyze the correlation between the return rate and the main liquidity index of Chinese stock market. The results show that there is a causal relationship between several liquidity indicators and the return rate, that is, there is a liquidity premium in China's stock market.
【作者单位】： 南开大学经济学院;
【分类号】：F224;F832.51
[Abstract]:The relationship between stock market liquidity and returns has been widely concerned by academia. In this paper, we use Spearman correlation coefficient and VAR model to analyze the correlation between the return rate and the main liquidity index of Chinese stock market. The results show that there is a causal relationship between several liquidity indicators and the return rate, that is, there is a liquidity premium in China's stock market.
【作者单位】： 南开大学经济学院;
【分类号】：F224;F832.51
【参考文献】
相关期刊论文 前8条
1 宋献中,王展翔;股票流动性与资产定价:基于时间序列回归的实证分析[J];财经理论与实践;2004年06期
2 胡克Z，
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