中国股市流动性溢价的存在性和稳定性检验

The Existence and Stability Test of Liquidity Premium in the Chinese Stock Market---From Industry Perspective

本文对中国股市流动性溢价的存在性和稳定性进行了实证检验。文章分四部分:第一部分关于流动性与流动性溢价的定义;第二部分利用因子分析构建一个综合性的流动性指标;第三部分从行业角度实证检验中国股市流动性溢价的存在性;第四部分从行业角度来实证检验中国股市流动性溢价的稳定性。

This paper researches the liquidity premium of Chinese stock.It is arranged for four parts.The first part explains the meanings of liquidity and liquidity premium.The second part constructs a general index through factor analysis. The third part and the fourth part test the existence and the stability of liquidity premium in the Chinese Stock Market.