股票价格同步性、波动性差异与流动性——基于沪深股市的实证研究

Stock Price Synchronicity, Volatility Difference and Liquidity: An Empirical Study Based on Shanghai and Shenzhen Stock Markets

股票价格同步性反映了股票价格波动中市场信息与异质性信息的相对比重,而股票价格波动可分解为由市场信息引起的系统性波动以及由异质性信息引起的异质性波动。由于信息不对称等原因,股票价格波动与股票流动性显著相关,因此,反映市场信息相对比重的股票价格同步性应该对股票流动性产生影响,并且应该与股票价格的系统性波动对流动性的影响相一致。通过对1994-2013年间沪深股市交易数据的实证分析发现,股票价格同步性确实会影响股票流动性,即较高的股票价格同步性能够改善个股的流动性,但股票价格的系统性波动与流动性之间存在显著的负相关。其原因在于中国股票市场参与者的投资"羊群效应",以及衍生品市场的发展不完善使得股票市场无法对冲系统性波动。

Stock price synchronicity can reflect the relative proportion of market information and heterogeneity information in the stock price volatility, while the volatility of stock prices can be decomposed into systematic volatility caused by market information and idiosyncratic volatility caused by heterogeneity information. Due to information asymmetry and other causes, the stock price volatility is significantly correlated with stock liquidity. Therefore, the stock price synchronicity which reflects the relative proportion of the market information should have some impact on the stock liquidity, and that impact should be consistent with the impact of systematic volatility of stock prices. Through the em- pirical analysis of the transaction data during 1994-2013 in Shanghai and Shenzhen Stock Exchanges, it is found that stock price synchronicity can really affect stock liquidity, i.e. the higher stock price synchronicity can improve the liquidity of individual shares; while the systematic volatility of stock prices is significantly and negatively correlated with the liquidity. The reason for this lies in the ＂Herd Effect＂ of Chinese investors and the underdeveloped derivative market which renders the stock market unable to hedge the systematic volatility.