流动性因素与中国股市的技术创新信息反

发布时间：2018-05-04 12:17

本文选题：股价特质波动 + 换手率　；参考：《产业经济研究》2012年04期

【摘要】：本文借鉴Chun等[1]的研究思路,实证检验技术创新投入是否能够在中国上市公司的股价特质波动中反馈为公司特质信息。考虑到中国市场微观结构中流动性因素对于资产定价的独特作用,我们建立引入流动性变量(以换手率度量)的资产定价模型来计算股价特质波动,然后在控制内生性的基础上检验技术创新投入与公司特质信息的关系。我们的研究表明:流动性因素对公司特质信息存在显著影响,但流动性成本不会影响公司创新投入。在控制了流动性因素后,技术创新的股价反馈效应表现虽然有所减弱,但仍然显著存在,说明创新投入能够在中国上市公司的股价特质波动中反映为公司特质信息。
[Abstract]:Based on the research ideas of Chun et al. [1], this paper empirically tests whether technological innovation input can feed back to corporate trait information in the volatility of stock price of listed companies in China. Considering the unique effect of liquidity factors on asset pricing in the microstructure of Chinese market, we establish an asset pricing model with liquidity variables (measured by turnover rate) to calculate the volatility of stock price. Then the relationship between technological innovation investment and company trait information is tested on the basis of controlling endogeneity. Our study shows that liquidity factors have a significant impact on corporate trait information, but the cost of liquidity does not affect innovation investment. After controlling the liquidity factor, the stock price feedback effect of technological innovation is weakened, but it still exists significantly, which indicates that innovation investment can be reflected as corporate trait information in the volatility of stock price characteristics of listed companies in China.
【作者单位】：广东外语外贸大学财经学院;
【基金】：国家自然科学青年基金项目(项目编号:71003030) 国家社科基金青年项目(项目编号:12CJY047) 教育部人文社会科学研究项目基金(项目编号:12YJC790032) 广东省哲学社会科学青年项目(项目编号GD11YYJ02)
【分类号】：F832.51;F273.1;F224

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