公司特征、股权结构与股票流动性

Firm Characteristics,Ownership Structure and Stock Liquidity

股票流动性是金融市场微观结构的核心议题,其影响因素问题受到了人们的广泛关注。然而,以往的研究存在两个方面的重要缺陷:一是多数研究仅关注了股权结构对股票流动性的影响,而忽略了公司特征因素的作用;二是以往股权结构视角的研究由于存在研究设计上的问题,使得实证结论的可靠性不高。本文使用2003-2009年沪深两市仅发行了A股的上市公司为样本,采用高频交易数据构造买卖价差以衡量股票流动性,考察了公司特征、股权结构与股票流动性之间的关系,以及股权分置改革对这一关系的影响,得到了与以往研究不同的实证结论。针对这些结论,本文给出了符合我国制度背景的理论阐释。

Stock liquidity is a major topic of financial market microstructure theory. Researchers have paid much attention to the determinants of stock liquidity. But these researches have two main problems, the first one is that most of these researches overlook the role of firm characteristics when they explore the role of ownership structure; the second one is that most researches that explore the role of ownership structure have problems in their research designs. On the basis of high frequency data of listed companies from Shenzhen Stock Market and Shanghai Stock Market from 2003 to 2009 that issue A-shares only, the paper explores the relationships among firm characteristics, ownership structure and stock liquidity, and the effects of non-tradable shares reform on these relationships. We get different results of the past studies and explain them based on China＇ s special institutional environment.