摘要
选取上海证券市场非金融板块成分股中131家上市公司股票2009年1月至2016年6月的月度数据作为研究样本,通过面板门限模型对上海股票市场流动性溢价的非对称效应进行了实证检验。实证结果表明,上海股票市场流动性溢价现象存在着显著的规模效应和价值效应;在市场上涨幅度较小时期与市场下跌时期,流动性溢价的表现具有一致性,此时流动性溢价要高于市场快速上涨时期;考虑规模因素与价值因素之后,市场不同时期规模效应与价值效应依然存在,但流动性溢价均减小。
This paper selects from January 2009 to June 2016 monthly data of the 131 listed companies in non- financial sector stocks in the Shanghai stock market as the study sample. Panel Threshold Model is used to empirically test the asymmetric effect on Shanghai stock market liquidity premium. The empirical results show that Shanghai stock market liquidity premium phenomenon exists significant size effect and value effect; during the period of the market increases smaller and the market decline,the liquidity premium performance is consistent,the liquidity premium is higher than that of the rapid rise in the market return; after considering the scale factors and value factors,in different periods the size effect and value effect still exists,but the liquidity premium were decreased.
出处
《经济问题》
CSSCI
北大核心
2017年第1期48-54,共7页
On Economic Problems
基金
2015年吉林大学哲学社会科学研究重大课题培育项目(2015ZDPY09)
