流动性与股票收益:来自我国股市的时间序列实证分析

Liquidity and Stock Returns: A Time-Series Empirical Exploration on Chinese Stock Markets

借鉴Amihud(2002)的分析思路,以换手率作为流动性变量,直接从流动性的角度对我国股票市场的预期和未预期市场流动性对市场和个股超额收益的影响进行实证研究。结果表明:在我国股票市场上,预期和未预期流动性对股票收益都存在正面影响;我国股市也存在流动性替代效应,但效应发生的结果是流动性越高,股票收益对预期和未预期流动性的敏感性越大。

Based on Amihud （2002）, this paper uses turnover rate as a proxy of liquidity and performs a time-series explorations of liquidity-stock returns relationship on china s stock markets. The evidence shows that expected and unexpected market liquidity positively affect on stock excess return over time, which leads to that more liquid stocks experience stronger effects of market liquidity after su stitution from less liquid to more liquid stocks.