股票流动性与资产定价:基于时间序列回归的实证分析

Stock Liquidity and Asset Pricing: Empirical Analysis from the Perspective of Time-Series Regression

基于上海股市分笔交易数据 ,以价差、报价深度、交易频率和价格影响绝对值与交易金额的比率分别作为流动性宽度、深度、即时性和弹性四个维度的替代指标 ,以流动性水平的非预期变化与同期股票收益率的内在联系作为出发点 ,采用时间序列回归方法对我国股市流动性定价问题进行了实证检验。实证结果表明流动性各个维度的非预期变化与同期股票收益率正相关 。

This article tests empirically liquidity-pricing in Chinese stock market from the perspective of the internal relationship of liquidity innovation and contemporaneous stock returns, in which time-series regression methods are employed and the four dimensions of stock liquidity--width, depth, immediacy and resiliency are stood for by bid-ask spread, quoted depth, trade frequency and the ratio of absolute price impact to dollar volume respectively. The outcome of regression shows that unexpected changes in any dimension of stock liquidity are positively related to the contemporaneous stock returns, which provides evidence for negative correlation between the stock liquidity and expected return.