我国股市流动性的度量及溢价实证研究

发布时间：2018-04-25 05:09

本文选题：流动性 + 流动性溢价　；参考：《暨南大学》2013年硕士论文

【摘要】：流动性问题的研究一直是资本市场一个比较有争议但十分有意义的热点领域。自1986年Amihud提出流动性溢价理论以来，开辟了流动性研究的新篇章，并成为了资本资产定价日趋完善的一个里程碑。不仅如此，规模效应、价值效应及动量效应这样的“异象”，也陆续成为了人们的关注点。本文出于丰富流动性问题的研究和检验“异象”效应真实性的目的，以截至2005年1月在我国正常上市的所有股票为研究对象，以2005年1月1号至2012年9月31号为样本区间，选取具有代表性的换手率TR、Amihuid比率R/V的绝对值及AF比率R/TR的绝对值为流动性度量指标，首先从个股角度对比，检验了他们与规模的spearman等级相关系数，结果表明R/V与规模高度负相关，R/TR与规模的相关性很微弱，TR与规模不相关；其次从构建组合收益率角度出发，比较它们与组合收益率的关系，发现R/V和R/TR构建的组合收益率能够证明流动性溢价效应的存在，而基于TR构建的组合收益率则表现不明显；再者，，本文还分析了大盘流动性的时间趋势，首次发现以R/V和R/TR代表的非流动性的高峰转折点与重大事件有着高度的关联性。更为重要的是，本文针对金融、保险行业的上市股，建立了流动性扩展的CAPM、FamaFrench和Carhart模型，并进行了少有人使用的个体固定效应面板数据回归模型，得到如下结论：用R/V和R/TR代表流动性因子，流动性溢价现象显著（与流动性溢价理论相符），且资产预期超额收益对R/V最为敏感，R/TR次之；而用TR代表流动性因子，则不能得到这样的结论（与流动性溢价理论不符）。本文的最后一部分，将对本文的主要结论进行归纳和总结，最后提出相关建议与展望。
[Abstract]:The study of liquidity has always been a controversial but significant hot area in capital markets. Since Amihud put forward the theory of liquidity premium in 1986, it has opened a new chapter in the study of liquidity, and has become a milestone in capital asset pricing. Not only that, the scale effect, value effect and momentum effect have become the focus of attention one after another. In order to study and test the validity of "abnormal vision" effect, this paper takes all the stocks listed in our country as the research object and the sample interval from January 1, 2005 to September 31, 2012. The absolute value of R / V and AF ratio R/TR are selected as liquidity metrics. Firstly, the correlation coefficient between them and the scale of spearman grade is tested from the perspective of individual stock. The results show that the correlation between R / V and scale is very weak and the relationship between R / TR and scale is very weak. Secondly, from the perspective of constructing portfolio return, the relationship between R / TR and portfolio return is compared. It is found that the yield of portfolio constructed by R / V and R/TR can prove the existence of liquidity premium effect, but the return rate based on tr is not obvious. Furthermore, the paper also analyzes the time trend of liquidity in the market. For the first time, it is found that the peak turning point of illiquidity represented by R / V and R/TR is highly correlated with major events. More importantly, aiming at the listed stocks in finance and insurance industry, this paper establishes the liquidity expansion model of CAPM Fama French and Carhart, and carries out the individual fixed effect panel data regression model which is seldom used. The conclusions are as follows: using R / V and R/TR to represent the liquidity factor, the liquidity premium phenomenon is significant (consistent with the liquidity premium theory, and the expected excess return of assets is most sensitive to R / V), while the liquidity factor is represented by tr. You can't get such a conclusion (not consistent with liquidity premium theory). In the last part of this paper, the main conclusions are summarized and some suggestions and prospects are put forward.
【学位授予单位】：暨南大学
【学位级别】：硕士
【学位授予年份】：2013
【分类号】：F224;F832.51

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