股票流动性与公司投资:来自中国股市的证据

Stock Liquidity and Corporate Investment:Evidence from China Stock Market

本文采用2003-2012年中国A股1 066家上市公司的面板数据,使用固定效应模型对股票流动性和公司投资关系进行实证研究。结果显示,股票换手率的大小和公司投资水平间呈现显著的正相关关系,即更高的股票换手率与更高的公司投资水平相关。引入公司发股与否和融资受限程度大小两个变量后发现,发行新股和融资受限较大的公司,其股票换手率对公司投资水平的影响更大。本文的发现为股票流动性与公司投资的关系这一新的研究视角提供了来自中国的证据。

This paper provides an empirical research on relations between stock liquidity and corporate investment by fixed effects model,analyzing the panel data of 1066 listed companies of China＇s A-share from 2003 to 2012. The results show that stock turnover rate has a positive correlation with corporate investment level,i.e.,higher stock turnover rate is related to higher corporate investment level. It is also found that when stock issue and finance constraints are taken into consideration,stock turnover rate of companies with more financing constraints or issuing new stock have greater impact on corporate investment. The findings provide domestic evidence for examining the relations between stock liquidity and corporate investment.