中国股票未预期非流动性效应研究

发布时间：2018-06-13 22:50

本文选题：非流动性 + 未预期非流动性　；参考：《复旦大学》2014年硕士论文

【摘要】：已经有大量的研究表明,股票未来的收益和它的非流动性水平是正相关的,这表明非流动性是股价的定价属性之一。近年来有一些研究把研究焦点转移到未预期非流动性对股价的影响上来。国内外目前对其研究还不多。目前主要的结论为股票的未预期非流动性(unexpeted illiquidity)与其同期收益负相关。但是对股票未来的收益与其未预期非流动性的关系,相关研究还较少。未预期非流动性的度量是建立在非流动性的预测模型上来的。目前,学术界还没有一个共同的定义。本文利用沪深市场1996年1月到2014年3月的周数据,首先建立了一个适合中国市场的非流动性预测模型,定义了中国市场的未预期非流动性。然后对1997年1月到2014年3月的数据进行实证研究。结果发现中国市场存在流动性补偿现象。股票的未预期非流动性与其当周收益负相关。在随后的一周内会出现一个价格反转,这与其他学者的研究结论不一致,不一致的原因在于样本不同,非流动性预测模型不同以及未预期非流动性定义不同。在2008年到2014年的市场中这种价格反转规律尤其稳定。并且,市场的趋势性越强,价格反转的规律越显著。考虑到交易成本以及当前的低位震荡市场环境,目前利用这种价格反转规律很难盈利。
[Abstract]:A large number of studies have shown that the future returns of stocks are positively correlated with their illiquidity levels, which indicates that illiquidity is one of the pricing attributes of stock prices. In recent years, some studies have shifted the focus to the impact of unanticipated illiquidity on stock prices. At present, there is not much research on it at home and abroad. The main conclusion is that the unanticipated illiquidity of stocks is negatively correlated with their earnings over the same period. However, there are few studies on the relationship between the future earnings of stocks and their unexpected illiquidity. The measurement of unanticipated illiquidity is based on the prediction model of illiquidity. At present, the academic community does not have a common definition. Based on the weekly data of Shanghai and Shenzhen market from January 1996 to March 2014, this paper first establishes a non-liquidity forecasting model suitable for Chinese market, and defines the unanticipated illiquidity of Chinese market. Then the data from January 1997 to March 2014 are studied empirically. The results show that liquidity compensation exists in Chinese market. The unanticipated illiquidity of stocks is negatively correlated with their earnings for the week. There will be a price reversal in the following week, which is inconsistent with other scholars' findings, due to different samples, different non-liquidity forecasting models and different definitions of unanticipated illiquidity. In the 2008-2014 market, this price reversal law is particularly stable. Moreover, the stronger the trend of the market, the more obvious the law of price reversal. Given transaction costs and the current low volatility market environment, it is difficult to make a profit using this price reversal law.
【学位授予单位】：复旦大学
【学位级别】：硕士
【学位授予年份】：2014
【分类号】：F832.51;F224

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