上海股市流动性溢价规模效应实证研究

Empirical study on size effect about liquidity premium in Shanghai stock market

采用分组排序和平行数据回归的方法对中国上海股票市场流动性溢价现象是否存在“规模效应”进行了检验,并且对按行业分类的子股市是否存在流动性溢价现象的“规模效应”进行了尝试性探讨。在回归中,考虑了中国股市中牛市和熊市的区别,引入斜率虚拟变量进行回归检验。得出的结论是上海股市在1998年1月至2004年12月存在流动性溢价现象的规模效应;所检验的三个行业:纺织,机械和石油行业在2002年1月至2004年12月之间不存在流动性溢价的“规模效应”;牛市和熊市的区别对流动性溢价的“规模效应”有显著影响。

By arranging in size order then grouping and the panel data regression, this paper test whether the size effect about liquidity premium exist in shanghai stock market and in the sub- stock market sorted by industry or not. A dummy variable is introduced to tell the difference of bull market and bear market in the regression model. We draw a conclusion that the size effect about liquidity premium during Jan 1998 to Dee 2004 in shanghai stock market. The size effect about liquidity premium does not exist in three industries tested in this paper, which are textile industry, oil and plastic industry, machine industry during Jan 2002 to Dec 2004. The difference between bull market and bear market can impact the whole stock market remarkably.