上海股票交易市场流动性与资产定价的实证研究被引量：1

Liquidity and Assets Pricing:A Research of the Stock Market in Shanghai

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摘要综合运用国外流动性与资产定价理论与方法,建立了修正的流动性—资产定价模型,并根据此模型对上海股票交易市场进行经验实证分析。研究发现,在上海股票交易市场这样一个新兴的证券市场中,流动性也是影响资产定价的重要因素,在流动性的价格形成机制中,交易成本是影响价格的主要原因。 Liquidity is the financial research front emerged in western developed financial markets in recent two decades. It is regarded as the most important thing of the financial markets. Moreover, the research on liquidity and assets pricing has becoming the hot spot in recent years in financial theory. So we make an attempt to analyze on this problem on the stock market in Shanghai. We find that there exists an illiquidity premium of the stock market in Shanghai, and liquidity is one of the important factors on assets pricing. The transaction cost is the mainly factors resulting in market liquidity affects on the stock market in Shanghai.

作者吴柏均杨威

机构地区华东理工大学经济发展研究所

出处《郑州航空工业管理学院学报》 2008年第4期37-43,共7页 Journal of Zhengzhou University of Aeronautics

关键词流动性流动性溢价资产定价股票交易市场 liquidity liquidity premium assets pricing stock transaction market

分类号 F832.5 [经济管理—金融学]

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参考文献12

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二级参考文献34

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