股票流动性与资本结构动态调整——基于时变的股票市场摩擦的视角

Stock Liquidity and the Dynamic Adjustment of Capital Structure:The Perspective of Time-varying Stock Market Friction

本文使用2000～2008年间深沪两市中仅发行了A股的上市公司的高频交易数据，采用相对有效价差和相对报价价差来衡量股票流动性。考察了股票流动性对资本结构动态调整速度的影响。使用整体偏调整模型和Nerlove部分调整模型的结果均表明，股票流动性越高，资本结构调整速度越快。作为一个替代性的解释，规模变量的引入并不能消除股票流动性的影响；与向上调整相比。股票流动性在杠杆向下调整的过程中的作用更强；稳健性检验的结论基本一致。

Based on unbalanced panel data of listed companies in Shenzhen Stock Market and Shanghai Stock Market from 2000 to 2008,this paper explores the relationship between stock liquidity and the dynamic adjustment speed of firm capital structure by employing the relative effective spread and the relative quoted spread constructed by high frequency data.Both the results of integrated partial adjustment model and those of Nerlove partial adjustment model show that the relationship is positive.As an alternative explanation,adding the size variable into the Nerlove partial adjustment regression model cannot erase this effect.The relationship in the downward adjustment process is stronger than that in the upward adjustment process.Robust tests get the same result.