中国股市收益率与流动性指标之间的关联分析

The Correlation Analysis of Earnings Yield on China's Stock Market and Liquidity Indicators

股票市场的流动性和收益之间的关系一直以来都受到了学术界的广泛关注。在本文当中,我们通过Spearman相关系数和VAR模型的方法对我国股票市场的收益率和主要流动性指标进行了相关性分析。结果发现,我们所选取的几种流动性指标和收益率之间都存在着一定的因果关系,也就是说我国股市存在流动性溢价。

The relation between liquidity and earnings yield on China＇s stock market receives extensive academic attention.In the paper,we use Spearman＇s rank correlation coefficient method and VAR model to analyze the correlation between earnings yield on China＇s stock market and liquidity indicators.The result reveals the causal relationship between the liquidity indicators that we choose and earnings yield,meaning that China＇s stock market has liquidity premium.