流动性因素与中国股市的技术创新信息反馈——基于股价特质波动的实证研究

On the Relation between Liquidity and Feedback Effect for Technology in China's Stock Market——An Empirical Study on Idiosyncratic Volatility

本文借鉴Chun等[1]的研究思路,实证检验技术创新投入是否能够在中国上市公司的股价特质波动中反馈为公司特质信息。考虑到中国市场微观结构中流动性因素对于资产定价的独特作用,我们建立引入流动性变量(以换手率度量)的资产定价模型来计算股价特质波动,然后在控制内生性的基础上检验技术创新投入与公司特质信息的关系。我们的研究表明:流动性因素对公司特质信息存在显著影响,但流动性成本不会影响公司创新投入。在控制了流动性因素后,技术创新的股价反馈效应表现虽然有所减弱,但仍然显著存在,说明创新投入能够在中国上市公司的股价特质波动中反映为公司特质信息。

Based on Chun et al. （2008）, We test if the technical innovation input can be reflected in the firm-specific information in idiosyncratic volatility. Considering the special and important influence of liquidity factor on asset pricing, we set up an liquidity （measured by turnover） adjusted asset pricing model, and then test the relation between technical innovation input and firm-specific information. We find, liquidity significantly influences firm-specific information, but it has little influence on firm＇s technical innovation. The feedback effect is a little weaken by using liquidity factor in the model, but it is still significant. Our evidence shows that the technical innovation can be reflect in idiosyncratic volatility and firm-specific information in China＇s stock market.