中国股票市场风险因素相关性研究

Relationship among the Risk Factors in Chinese Stock Market

在传统的多元回归模型基础上,利用动态模型并结合分位数模型,研究了中国股票市场的风险因素如公司规模、账面市值比和流动性之间的相关性。研究结果表明,在考虑了流动性的滞后影响后,公司规模与其股票流动性之间存在显著的正相关关系,而账面市值比与股票流动性之间存在显著的负相关关系,进而揭示了流动性溢价理论可以解释股票市场中的规模效应和价值效应的原因。

Based on the traditional multiple regression model, we discuss the relationship among the risk factors such as firm size, book-to-market ratio and liquidity in Chinese stock market by using the dynamic regression model and quantile regression model. Our results show that, while the lagged effect of liquidity on firm size and book-to-market ratio is considered, there is a significant positive correlation between firm size and liquidity and a significant negative correlation between book-to-market ratio and liquidity. This reveals the reason of that liquidity premium theory can explain size effect and value effect.